DOCUMENT AND ENTITY INFORMATION
DOCUMENT AND ENTITY INFORMATION - shares | 9 Months Ended | |
Sep. 30, 2018 | Oct. 26, 2018 | |
Document And Entity Information [Abstract] | ||
Document Type | 10-Q | |
Amendment Flag | false | |
Document Period End Date | Sep. 30, 2018 | |
Document Fiscal Year Focus | 2,018 | |
Document Fiscal Period Focus | Q3 | |
Entity Registrant Name | Orchid Island Capital, Inc. | |
Entity Central Index Key | 1,518,621 | |
Entity Current Reporting Status | Yes | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | true | |
EntityExTransitionPeriod | true | |
Entity Common Stock Shares Outstanding | 52,039,168 | |
Trading Symbol | ORC |
CONDENSED CONSOLIDATED BALANCE
CONDENSED CONSOLIDATED BALANCE SHEETS - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Mortgage-backed securities, at fair value | ||
Pledged to counterparties | $ 3,498,724 | $ 3,712,561 |
Unpledged | 15,232 | 32,250 |
Total mortgage-backed securities | 3,513,956 | 3,744,811 |
Cash and cash equivalents | 164,393 | 214,363 |
Restricted cash | 30,928 | 32,349 |
Accrued interest receivable | 14,085 | 14,444 |
Derivative Assets | 37,422 | 17,160 |
Other assets | 312 | 216 |
Total Assets | 3,761,096 | 4,023,343 |
Liabilities | ||
Outstanding repurchase obligations | 3,321,803 | 3,533,786 |
Dividends Payable | 4,163 | 7,429 |
Derivitive Liabilities | 0 | 2,038 |
Accrued interest payable | 4,595 | 6,516 |
Due to affiliates | 622 | 797 |
Other Liabilities | 36,610 | 10,566 |
Total Liabilities | 3,367,793 | 3,561,132 |
Stockholders' Equity | ||
Preferred stock, $0.01 par value | 0 | 0 |
Common Stock, $0.01 par value | 520 | 531 |
Additional paid in capital | 410,771 | 461,680 |
Accumulated deficit | (17,988) | 0 |
Total Stockholders Equity | 393,303 | 462,211 |
Total Liabilities and Stockholders Equity | $ 3,761,096 | $ 4,023,343 |
CONDENSED CONSOLIDATED BALANC_2
CONDENSED CONSOLIDATED BALANCE SHEETS (Parentheticals) - $ / shares | Sep. 30, 2018 | Dec. 31, 2017 |
Statement Of Financial Position [Abstract] | ||
Preferred Stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Preferred Shares Authorized | 100,000,000 | 100,000,000 |
Preferred Shares Issued | 0 | 0 |
Preferred Shares Outstanding | 0 | 0 |
Common Stock, par value (in dollars per share) | $ 0.01 | $ 0.01 |
Common Stock Shares Authorized | 500,000,000 | 500,000,000 |
Common Shares Issued | 52,039,168 | 53,061,904 |
Common Shares Outstanding | 52,039,168 | 53,061,904 |
CONDENSED CONSOLIDATED STATEMEN
CONDENSED CONSOLIDATED STATEMENTS OF OPERATIONS (Unaudited) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Interest income | $ 39,054,000 | $ 38,974,000 | $ 117,580,000 | $ 105,864,000 |
Interest expense | 18,893,000 | 12,638,000 | 50,620,000 | 28,116,000 |
Net interest income | 20,161,000 | 26,336,000 | 66,960,000 | 77,748,000 |
Realized gains (losses) on mortgage-backed securities | (2,837,000) | 769,000 | (23,350,000) | 3,354,000 |
Unrealized gains (losses) on mortgage-backed securities | (30,006,000) | (3,553,000) | (122,136,000) | (35,601,000) |
(Losses) gains on derivative instruments | 12,693,000 | (5,470,000) | 69,547,000 | (29,331,000) |
Net portfolio income | 11,000 | 18,082,000 | (8,979,000) | 16,170,000 |
Expenses | ||||
Management Fee Expense | 1,482,000 | 1,528,000 | 4,800,000 | 4,230,000 |
Allocated Overhead | 391,000 | 412,000 | 1,133,000 | 1,168,000 |
Compensation and related benefits | 197,000 | 209,000 | 209,000 | 439,000 |
Directors fees and liability insurance | 234,000 | 215,000 | 734,000 | 722,000 |
Audit, legal and other professional fees | 170,000 | 157,000 | 632,000 | 547,000 |
Direct REIT operating expenses | 424,000 | 320,000 | 1,234,000 | 816,000 |
Other administrative | 72,000 | 58,000 | 267,000 | 259,000 |
Total expenses | 2,970,000 | 2,899,000 | 9,009,000 | 8,181,000 |
Net income (loss) | $ (2,959,000) | $ 15,183,000 | $ (17,988,000) | $ 7,989,000 |
Basic and diluted net income (loss) per share | ||||
Basic | $ (0.06) | $ 0.33 | $ (0.34) | $ 0.21 |
Diluted | $ (0.06) | $ 0.33 | $ (0.34) | $ 0.21 |
Weighted Average Shares Outstanding | ||||
Weighted Average Shares - Basic and Diluted | 52,034,695 | 45,355,124 | 52,538,457 | 38,608,053 |
Dividends Declared Per Common Share | $ 0.25 | $ 0.42 | $ 0.83 | $ 1.26 |
CONDENSED CONSOLIDATED STATEM_2
CONDENSED CONSOLIDATED STATEMENT OF STOCKHOLDERS' EQUITY, (Unaudited) - 9 months ended Sep. 30, 2018 - USD ($) | Total | Common Stock [Member] | Additional Paid In Capital [Member] | Retained Earnings [Member] |
Balances at Dec. 31, 2017 | $ 462,211,000 | $ 531,000 | $ 461,680,000 | $ 0 |
Increase (Decrease) in Stockholders' Equity | ||||
Net income | (17,988,000) | 0 | 0 | (17,988,000) |
Cash dividend declared | 43,648,000 | 0 | 43,648,000 | 0 |
Issuance of common shares pursuant to stock based compensation plan | 258,000 | 0 | 258,000 | 0 |
Amortization of stock based compensation | 151,000 | 0 | 151,000 | 0 |
Stock Repurchased and Retired During Period, Value | (7,681,000) | (11,000) | (7,670,000) | 0 |
Balances at Sep. 30, 2018 | $ 393,303,000 | $ 520,000 | $ 410,771,000 | $ (17,988,000) |
CONDENSED CONSOLIDATED STATEM_3
CONDENSED CONSOLIDATED STATEMENT OF STOCKHOLDERS' EQUITY, (Unaudited) (Parenthetical) - $ / shares | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Statement Of Stockholders Equity [Abstract] | ||||
Cash dividend declared, per share | $ 0.25 | $ 0.42 | $ 0.83 | $ 1.26 |
CONDENSED CONSOLIDATED STATEM_4
CONDENSED CONSOLIDATED STATEMENTS OF CASH FLOWS, (Unaudited) - USD ($) | 9 Months Ended | |
Sep. 30, 2018 | Sep. 30, 2017 | |
CASH FLOWS FROM OPERATING ACTIVITIES | ||
Net income (loss) | $ (17,988,000) | $ 7,989,000 |
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | ||
Stock based compensation and equity plan amortization | 409,000 | 453,000 |
Realized and unrealized (gains) losses on mortgage-backed securities | 145,486,000 | 32,247,000 |
Derivative, Gain (Loss) on Derivative, Net | (32,482,000) | 4,414,000 |
Changes in operating assets and liabilities | ||
Accrued interest receivable | 359,000 | (3,898,000) |
Other assets | (136,000) | (170,000) |
Accrued interest payable | (1,921,000) | 2,989,000 |
Other liabilities | 1,521,000 | (601,000) |
Due to affiliates | (175,000) | 196,000 |
NET CASH (USED IN) PROVIDED BY OPERATING ACTIVITIES | 95,073,000 | 43,619,000 |
From mortgage-backed securities investments | ||
Purchases | (2,958,402,000) | (5,079,945,000) |
Sales | 2,762,845,000 | 3,890,959,000 |
Principal repayments | 280,966,000 | 248,483,000 |
Proceeds From Sale Of Federal Home Loan Bank Stock | 0 | 3,000 |
Payments on net settlement of to-be-announced securities | 11,229,000 | (7,945,000) |
Purchase of interest rate swaptions, net of margin cash received | (23,476,000) | (410,000) |
NET CASH USED IN INVESTING ACTIVITIES | 120,114,000 | (948,035,000) |
CASH FLOWS FROM FINANCING ACTIVITIES | ||
Proceeds from repurchase agreements | 39,316,249,000 | 39,895,749,000 |
Principal payments on repurchase agreements | (39,528,232,000) | (38,979,377,000) |
Cash dividends | (46,914,000) | (47,950,000) |
Proceeds From Issuance Of Common Stock, net of issuance costs | 0 | 122,857,000 |
Payments For Repurchase Of Common Stock | 7,681,000 | 0 |
NET CASH PROVIDED BY FINANCING ACTIVITIES | (266,578,000) | 991,279,000 |
NET INCREASE IN CASH, CASH EQUIVALENTS AND RESTRICTED CASH | (51,391,000) | 86,863,000 |
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, beginning of period | 246,712,000 | 94,425,000 |
CASH, CASH EQUIVALENTS AND RESTRICTED CASH, end of period | 195,321,000 | 181,288,000 |
Cash paid during the period for: | ||
Interest Paid | 52,541,000 | 25,127,000 |
SUPPLEMENTAL DISCLOSURES OF NONCASH FINANCING ACTIVITIES: | ||
Securities acquired settled in later period | 0 | 0 |
Securities Sold Settled In Later Period | 0 | 0 |
Interest Rate Swaption [Member] | ||
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | ||
Derivative, Gain (Loss) on Derivative, Net | (4,718,000) | (827,000) |
Swap [Member] | ||
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | ||
Derivative, Gain (Loss) on Derivative, Net | (14,500,000) | 1,398,000 |
TBA Contracts [Member] | ||
Adjustments to reconcile net income (loss) to net cash (used in) provided by operating activities: | ||
Derivative, Gain (Loss) on Derivative, Net | $ (13,264,000) | $ 3,843,000 |
ORGANIZATION AND SIGNIFICANT AC
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES | 9 Months Ended |
Sep. 30, 2018 | |
Accounting Policies [Abstract] | |
Organization and Significant Accounting Policies | Organization and Business Description Orchid Island Capital, Inc. (“Orchid” or the “Company”), was incorporated in Maryland on August 17, 2010 for the purpose of creating and managing a leveraged investment portfolio consisting of residentia l mortgage-backed securities (“RMBS ”). From incorporation t o February 20, 2013 Orchid was a w holly owned subsidiary of Bimini Capital Management, Inc. (“Bimini”). Orchid began operations on November 24, 2010 (the date of commencement of operations). From incorporation through November 24, 2010, Orchid’s only activity was the issuance of common s tock to Bimini. On February 20, 2013, Orchid completed the initial public offering (“IPO”) of its common stock in which it sold approximately 2.4 million shares of its common stock and raised gross proceeds of $35.4 million, which were invested in RMBS th at were issued and the principal and interest of which were guaranteed by a federally chartered corporation or agency (“Agency RMBS”) on a leveraged basis. Orchid is an “emerging growth company” as defined in the Jumpstart Our Business Startups Act of 201 2 (the “JOBS Act”). On July 29, 2016 , Orchid entered into a n equity distribution agreement (the “ July 2016 Equity Distribution Agreement”) with two sales agents pursuant to which the Company could offer and sell, from time to time, u p to an aggregate amount of $125 ,000,000 of shares of the Company’s common stock in transactions that were deemed to be “at the market” offerings and privately negotiated transactions. The Company issued a total of 10,174,992 shares under the July 2016 Equity Distribution Agreement for aggregate gross proceeds of $110.0 million, and net proceeds of approximately $ 108.2 million, net of commissions and fees, prior to its termination in February 2017 . On February 23, 2017 , Orchid entered into a nother equity distribution agreement , as amended and restated on May 10, 2017, (the “ May 2017 Equity Distribution Agreement”) with two sales agents pursuant to which the Company may offer and sell, from time to time, u p to an aggregate amount of $125 ,000,000 of shares of the Company’s common stock in transactions that are deemed to be “at the market” offerings and privately negotiated transactions. T he Company issued a total of 12,299,032 shares under the May 2017 Equity Distribution Agreement for aggregate gros s proceeds of $125.0 million, and net proceeds of approximately $ 122.9 million, net of commissions and fees , prior to its termination in August 2017. On August 2, 2017, Orchid entered into another equity distribution agreement (the “August 2017 Equity Distribution Agreement”) with two sales agents pursuant to which the Company may offer and sell, from time to time, up to an aggregate amount of $125,000,000 of shares of the Company’s common stock in transactions that are deemed t o be “at the market” offerings and privately negotiated transactions. Through September 30, 2018 , the Company issued a total of 7,746,052 shares under the August 2017 Equity Distribution Agreement for aggregate gross proceeds of approximately $76.0 million, and net proceeds of approximately $74.7 million, net of commissions and fees . Basis of Presentation and Use of Estimates The accompanying unaudited consolidated financial statements have been prepared in accordance with accounting principles generally accept ed in the United States (“GAAP”) for interim financial information and with the instructions to Form 10-Q a nd Article 8 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. The consolidated financial statements include the accounts of our wholly-owned subsidiary, Orchid Island Casualty, LLC. Significant intercompany accounts and transactions have been eliminated. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair p resentation have been included. Operating results for the nine and three month period s ended September 30, 2018 are not necessarily indicative of the results that may be exp ected for the year end ing December 31, 2018 . The balance sheet at December 31, 2017 has been derived from the audited financial statements at that date but does not include all of the information and footnotes required by GAAP for complete financial statements. For further information, refer to the financial statements and footnotes thereto included in the Company’s A nnual R eport on Form 10-K for the year ended December 31, 2017 . The preparation of financial statements in conformity with GAAP re quires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses dur ing the reporting period. Actual results could differ from those estimates. The significant estimates affecting the accompanying financial statements are the fair values of RMBS and derivatives . Statement of Comprehensive Income (Loss) In accordance with the Financial Accounting Standards Board (the “FASB”) Accounting Standards Codification (“ASC”) Topic 220, Comprehensive Income , a statement of comprehensive income (loss) has not been included as the Company has no items of other comprehensive income (loss) . Comprehensive income (loss) is the same as net income (loss) for the periods presented. Cash and Cash Equivalents and Restricted Cash Cash and cash equivalents include cash on deposit with financial institutions and highly liquid investments with original maturities of three months or less at the time of purchase . Restricted cash includes cash pledged as collateral for repurchase agreements and other borrowings, and interest rate swaps and other derivative instruments. The following table pr ovides a reconciliation of cash, cash equivalents, and restricted cash reported within the statement of financial position that sum to the total of the same such amounts shown in the statement of cash flows. (in thousands) September 30, 2018 December 31, 2017 Cash and cash equivalents $ 164,393 $ 214,363 Restricted cash 30,928 32,349 Total cash, cash equivalents and restricted cash $ 195,321 $ 246,712 The Company maintains cash balances at four banks and excess margin on account at derivative exchanges, and, at times, balances may exceed federally insured limits. The Company has not experienced any losses related to these balances. The Federal Deposit Insurance Corporation insures eligible accounts up to $250,000 per depositor at each financial institution. At September 30, 2018 , the Company’s cash deposits exceeded federally insured limits by approximately $160.4 million. Restric ted cash balances are uninsured, but are held in separate customer accounts that are segregated from the general funds of the counterparty. The Company limits uninsured balances to only large, well-known bank and derivative exchanges and believes that it is not exposed to any significant credit risk on cash and cash equivalents or restricted cash balances. Mortgage-Backed Securities The Company invests primarily in mortgage pass-through (“PT”) certificates, collateralized mortgage obligations, interest- only (“IO”) securities and inverse interest- only (“IIO”) securities representing interest in or obligations backed by pools of RMBS . T he Company has elected to account for its investment in RMBS under the fair value option. Electing the fair value option require s the Company to record changes in fair value in the consolidated statement of operations, which, in management’s view, more appropriately reflects the results of our operations for a particular reporting period and is consistent with the underlying economics and how the portfolio is managed. The Company records RMBS transactions on the trade date. Security purchases that have not settled as of the balance sheet date are included in the RMBS balance with an offsetting liability recorded, whereas sec urities sold that have not settled as of the balance sheet date are removed from the RMBS balance with an offsetting receivable recorded. The fair value of the Company’s investments in RMBS is governed by FASB ASC 820, Fair Value Measurement . The definition of fair value in FASB ASC 820 focuses on the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date. The fair value measurement assumes that the transaction to sell the asset or transfer the liability either occurs in the principal market for the asset or liability, or in the absence of a principal market, occurs in the most advantageous market for the asset or liability. Estimated fair va lues for RMBS are based on independent pricing sources and/or third party broker quotes, when available . Income on PT RMBS securities is based on the stated interest rate of the security. Premiums or discounts present at the date of purchase are not amor tized. Premium lost and discount accretion resulting from monthly principal repayments are reflected in unrealized gains (losses) on RMBS in the consolidated statements of operations. For IO securities, the income is accrued based on the carrying value and the effective yield. The difference between income accrued and the interest received on the security is characterized as a return of investment and serves to reduce the asset’s carrying value. At each reporting date, the effective yield is adjusted prospe ctively for future reporting period s based on the new estimate of prepayments and the contractual terms of the security. For IIO securities, effective yield and income recognition calculations also take into account the index value applicable to the securi ty. Changes in fair value of RMBS during each reporting period are recorded in earnings and reported as unrealized gains or losses on mortgage-backed securities in the accompanying consolidated statements of operations. Derivative Financial Instruments The Company uses derivative instruments to manage interest rate risk, facilitate asset/liability strategies and manage other exposures, and it may continue to do so in the future. The principal instruments that the Company has used to date are Treasury Not e (“T-Note”) and Eurodollar futures contracts, interest rate swaps, options to enter in interest rate swaps (“interest rate swaptions”) and “to-be-announced” (“TBA”) securities transactions, but the Company may enter into other derivatives in the future. The Company accounts for TBA securities as derivative instruments if either the TBA securities do not settle in the shortest period of time possible or if the Company cannot assert that it is probable at inception of the TBA transaction, or throughout its term, that it will take physical delivery of the Agency RMBS for a long position, or make delivery of the Agency RMBS for a short posi tion, upon settlement of the trade. Gains and losses associated with TBA securities transactions are reported in gain (loss) on derivative instruments in the accompanying consolidated statements of operations. The Company has elected not to treat any of its derivative financial instruments as hedges in order to align the accounting treatment of its derivative instruments with the treatment of its portfoli o assets under the fair value option election . FASB ASC Topic 815, Derivatives and Hedging , requires that all derivative instruments be carried at fair value. Changes in fair value are recorded in earnings for each period. Holding d erivatives creates exposure to credit risk related to the potential for failure on the part of counterparties and exchanges to honor their commitments. In addition, the Company may be required to post collateral based on any decli nes in the market value o f the d erivatives. In the event of default by a counterparty, the Company may have difficulty recovering its collateral and may not receive payments provided for under the terms of the agreement . To mitigate this risk, the Company uses only well-establis hed comme rcial banks and exchanges as counterparties. Financial Instruments FASB ASC 825, Financial Instruments , requires disclosure of the fair value of financial instruments for which it is practicable to estimate that value, either in the body of the financial statements or in the accompanying notes. RMBS, Eurodollar and T-Note futures contracts, interest rate swaps, interest rate swaptions and TBA securities are accounted for at fair value in the consolidated balance sheets. The methods and assumptions used to estimate fair value for these instruments are presented in Note 12 of the consolidated financial statements. The estimated fair value of cash and cash equivalents, restricted cash, accrued interest receivable, receivable for securities sold, other assets, due to affiliates, repurchase agreements , payable for unsettled securities purchased, accrued interest payable and other liabilities g enerally approximates their carrying values as of September 30, 2018 and December 31, 2017 due to the short-term nature of these financial instruments. Repurchase Agreements The Company finances the acquisition of the majority of its RMBS through the use of repurchase agreements under master repurchase agreements. Pursuant to ASC Topic 860, Transfers and Servicing , the Company accounts for repurchase transactions as collateralized financing transactions, which are carried at their contract ual amounts, including accrued interest, as specified in the respective agreements. Manager Compensation The Company is externally managed by Bimini Advisors, LLC ( th e “Manager” or “Bimini Advisors”) , a Maryland limited liability company and wh olly-owned subsidiary of Bimini . The Company’s management agreement with the Manager provides for payment to the Manager of a management fee and reimbursement of certain operating expenses, which are accrued and expensed during the period for which they are earned o r incurred. Refer to Note 13 for the terms of the management agreement. Earnings Per Share The Company follows the provisions of FASB ASC 260, Earnings Per Share . Basic earnings per share (“EPS”) is calculated as net income or loss attributable to common stockholders divided by the weighted average number of shares of common stock outstanding or subscribed during the period. Diluted EPS is calculated using the treasury stock or two-class method, as applicable, for common stock equivalents, if any. H owever, the common stock equivalents are not included in computing diluted EPS if the result is anti-dilutive. Income Taxes Orchid has qualified and elected to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended (the “Code ”). REITs are generally not subject to federal income tax on their REIT taxable income provided that they distribute to their stockholders at least 90% of their REIT taxable income on an annual basis. In addition, a REIT must meet other provisions of the Code to retain its tax status. Orchid measures , recognizes and presents its uncertain tax positions in accordance with FASB ASC 740, Income Taxes . Under that guidance, Orchid assesses the likelihood, based on their technical merit, that tax positions will be sustained upon examination based on the fa cts, circumstances and information available at the end of each period. All of Orchid’s tax positions are categorized as highly certain. There is no accrual for any tax, interest or penalties related to Orchid’s tax position assessment. The measurement of uncertain tax positions is adjusted when new information is available, or when an event occurs that requires a change. Recent Accounting Pronouncements In November 2016, the FASB issued Accounting Standards Update (“ASU”) 2016-18, Statement of Cash Flows – (Topic 230): Restricted Cash. ASU 2016-18 requires that restricted cash and restricted cash equivalents be included as components of total cash and cash equivalents as presented on the statement of cash flows. ASU 2016-18 is effec tive for fiscal years, and for interim periods within those years, beginning after December 15, 2017. Early application is permitted. The Company early adopted the ASU beginning with the first quarter of 2017. In August 2016, the FASB issued ASU 2016-1 5, Statement of Cash Flows – (Topic 230): Classification of Certain Cash Receipts and Cash Payments. ASU 2016-15 addresses eight specific cash flow issues with the objective of reducing the existing diversity in practice. ASU 2016-15 is effective for fisca l years, and for interim periods within those years, beginning after December 15, 2017. The Company’s adoption of this ASU did not have a material impact on its consolidated financial statements. In June 2016, the FASB issued ASU 2016-13, Financial Instr uments – Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments. ASU 2016-13 requires credit losses on most financial assets measured at amortized cost and certain other instruments to be measured using an expected credit loss mod el (referred to as the current expected credit loss model). ASU 2016-13 is effective for fiscal years, and for interim periods within those years, beginning after December 15, 2019. Early application is permitted for fiscal periods beginning after Decembe r 15, 2018. The Company is currently evaluating the potential effect of this ASU on its consolidated financial statements. In January 2016, the FASB issued ASU 2016-01, Financial Instruments-Overall (Subtopic 825-10): Recognition and Measurement of Finan cial Assets and Financial Liabilities . ASU 2016-01 provides guidance for the recognition, measurement, presentation and disclosure of financial assets and financial liabilities. ASU 2016-01 is effective for fiscal years, and for interim periods within th ose years, beginning after December 15, 2017 and, for most provisions, is effective using the cumulative-effect transition approach. |
MORTGAGE-BACKED SECURITIES
MORTGAGE-BACKED SECURITIES | 9 Months Ended |
Sep. 30, 2018 | |
Investments, Debt and Equity Securities [Abstract] | |
Mortgage-Backed Securities | NOTE 2 . MORTGAGE-BACKED SECURITIES The following table presents the Company’s RMBS portfolio as of September 30, 2018 and December 31, 2017 : (in thousands) September 30, 2018 December 31, 2017 Pass-Through RMBS Certificates: Hybrid Adjustable-rate Mortgages $ - $ 27,398 Adjustable-rate Mortgages 1,437 1,754 Fixed-rate Mortgages 2,616,916 3,594,533 Fixed-rate CMOs 760,587 - Total Pass-Through Certificates 3,378,940 3,623,685 Structured RMBS Certificates: Interest-Only Securities 111,929 86,918 Inverse Interest-Only Securities 23,087 34,208 Total Structured RMBS Certificates 135,016 121,126 Total $ 3,513,956 $ 3,744,811 The following table summarizes the Company’s RMBS portfolio as of September 30, 2018 and December 31, 2017 , according to the contractual maturities of the securities in the portfolio. Actual maturities of RMBS investments are generally shorter than stated contractual maturities and are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal . (in thousands) September 30, 2018 December 31, 2017 Greater than one year and less than five years $ - $ 29 Greater than five years and less than ten years 6,219 3,281 Greater than or equal to ten years 3,507,737 3,741,501 Total $ 3,513,956 $ 3,744,811 |
REPURCHASE AGREEMENTS AND OTHER
REPURCHASE AGREEMENTS AND OTHER BORROWINGS | 9 Months Ended |
Sep. 30, 2018 | |
Disclosure of Repurchase Agreements [Abstract] | |
Repurchase Agreements and Other Borrowings | NOTE 3 . REPURCHASE AGREEMENTS AND OTHER BORROWINGS The Company pledges certain of its RMBS as collateral under repurchase agreements with financial institutions. Interest rates are generally fixed based on prevailing rates corresponding to the terms of the borrowings , and interest is generally paid at the termination of a borrowing . If the fair value of the pledged securities declines, lenders will typically require the Company to post additional collateral or pay down borrowings to re-establish agreed upon collateral requirements, referred to as "margin calls." Similarly, if the fair value of the pledged securities increases, lenders may release collateral back to the Company. As of September 30, 2018 , the Company had met all margin call requirements. As of September 30, 2018 , the Company had outstanding repurchase obligations of approximately $3,321.8 million with a net weighted average borrowing rate of 2.30% . These agreements were collateralized by RMBS with a fair value, including accrue d interest and securities pledged related to securities sold but not yet settled, of approximately $3,512.5 million, and cash pledged to the counterparties of approximately $25.8 million. As of December 31, 2017 , the Company had out standing repurchase obligations of approximately $3,533.8 million with a net weighted average borrowing rate of 1.54% . These agreements were collateralized by RMBS with a fair value, including accrued interest, of approximately $3,726.5 million , and cash pledged to the counterparties of approximately $25.3 million. As of September 30, 2018 and 2017 , the Company’s repurchase agreements had remaining maturities as summarized below: ($ in thousands) OVERNIGHT BETWEEN 2 BETWEEN 31 GREATER (1 DAY OR AND AND THAN LESS) 30 DAYS 90 DAYS 90 DAYS TOTAL September 30, 2018 Fair market value of securities pledged, including accrued interest receivable $ 252,556 $ 1,275,229 $ 1,984,716 $ - $ 3,512,501 Repurchase agreement liabilities associated with these securities $ 243,602 $ 1,181,946 $ 1,896,255 $ - $ 3,321,803 Net weighted average borrowing rate 2.24% 2.32% 2.30% - 2.30% December 31, 2017 Fair market value of securities pledged, including accrued interest receivable $ - $ 1,983,958 $ 1,266,590 $ 475,975 $ 3,726,523 Repurchase agreement liabilities associated with these securities $ - $ 1,871,833 $ 1,208,518 $ 453,435 $ 3,533,786 Net weighted average borrowing rate - 1.53% 1.53% 1.57% 1.54% If, during the term of a repurchase agreement, a lender files for bankruptcy, the Company might experience difficulty recovering its pledged assets , which could result in an unsecured claim against the lender for the difference between the amount loaned to the Company plus interest due to the counterparty and the fair value of the collateral pledged to such lender , including the accrued interest recei vable and cash posted by the Company as collateral. At September 30, 2018 , the Company had an aggregate amount at risk (the difference between the amount loaned to the Company, including interest payable and securities posted by the counterparty (if any) , and the fair value of securities and cash pledged (if any) , including accrued interest on such securities) with all counterparties of approximately $211.9 million . The Company did not have an amount at risk with any individual counterparty greater than 10% of the Company’s equity at September 30, 2018 and Decemb er 31, 2017 |
DERIVATIVE FINANCIAL INSTRUMENT
DERIVATIVE FINANCIAL INSTRUMENTS | 9 Months Ended | |
Sep. 30, 2018 | ||
Derivative Financial Instruments [Abstract] | ||
Derivative Financial Instruments | 1 to ≤ 3 years $ 900,000 1.56% 2.33% $ 16,734 1.5 Expiration > 3 to ≤ 5 years 360,000 2.05% 2.33% 11,296 3.5 $ 1,260,000 1.70% 2.33% $ 28,030 2.1 December 31, 2017 Expiration > 1 to ≤ 3 years $ 650,000 1.09% 1.41% $ 11,828 2.1 Expiration > 3 to ≤ 5 years 360,000 2.05% 1.53% 1,702 4.3 $ 1,010,000 1.43% 1.45% $ 13,530 2.8 The table below presents information related to the Company’s interest rate swaption positions at September 30, 2018 and December 31, 2017 . ($ in thousands) Option Underlying Swap Weighted Average Weighted Average Average Adjustable Average Fair Months to Notional Fixed Rate Term Expiration Cost Value Expiration Amount Rate (LIBOR) (Years) September 30, 2018 ≤ 1 year Payer Swaptions $ 8,690 $ 7,357 4.1 $ 850,000 3.21% 3 Month 9.2 December 31, 2017 ≤ 1 year Payer Swaptions $ 2,367 $ 3,405 8.0 $ 200,000 2.16% 3 Month 6.0 The following table summarizes our contracts to purchase and sell TBA securities as of September 30, 2018 and December 31, 2017 . ($ in thousands) Notional Net Amount Cost Market Carrying Long (Short) (1) Basis (2) Value (3) Value (4) September 30, 2018 30-Year TBA securities: 3.0% $ (200,000) $ (192,324) $ (191,344) $ 980 3.5% (200,000) (197,804) (196,749) 1,055 Total $ (400,000) $ (390,128) $ (388,093) $ 2,035 December 31, 2017 30-Year TBA securities: 3.0% $ (300,000) $ (299,371) $ (300,153) $ (782) 4.0% (357,000) (373,403) (373,477) (74) 4.5% 356,556 380,371 379,414 (957) Total $ (300,444) $ (292,403) $ (294,216) $ (1,813) Gain (Loss) From Derivative Instruments, Net The table below presents the effect of the Company’s derivative financial instruments on the consolidated statements of operations for the nine and three months ended September 30, 2018 and 2017 . (in thousands) Nine Months Ended September 30, Three Months Ended September 30, 2018 2017 2018 2017 Eurodollar futures contracts (short positions) $ 25,301 $ (6,955) $ 4,640 $ 607 T-Note futures contracts (short position) 9,232 (16,190) 1,482 (6,450) Interest rate swaps 17,032 (3,170) 2,994 1,005 Receiver swaptions (909) - (130) - Payer swaptions 5,627 827 414 827 Net TBA securities 13,264 (3,843) 3,293 (1,459) Total $ 69,547 $ (29,331) $ 12,693 $ (5,470) Credit Risk-Related Contingent Features The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized in the event that the counterparties to these instruments fail to perform their obligations under the contracts. We minimize this risk by limiting our counterparties for instruments which are not centrally cleared on a registered exchange to major financial institutions with acceptable credit ratings and monitoring positions with individual counterparties. In addition, we may be required to pledge assets as collateral for our derivatives, whose amounts vary over time based on the market value, notional amount and remaining term of the derivative contract. In the event of a default by a counterparty , we may not receive payments provided for under the terms of our derivative agreements, and may have difficulty obtaining our assets pledged as collateral for our derivatives. The cash and cash equivalents pledged as collateral for our derivative instruments are i ncluded in restricted cash on our consolidated balance sheets." id="sjs-B4">NOTE 4 . DERIVATIVE FINANCIAL INSTRUMENTS In connection with its interest rate risk management strategy, the Company economically hedges a portion of the cost of its repurchase agreement funding by entering into derivatives and other hedging contracts. To date, the Company has entered into Eurodollar and T-Note futures contracts, interest rate swaps, and interest rate swaptions, but may enter into other contracts in the future. The Company has not elected hedging treatment under GAAP, and as such all gains or losses (realized and unrealized) on these instruments are reflected in earnings for all periods presented. In addition, the Company utilizes TBA securities as a means of investing in and financing Agency RMBS or as a means of reducing i ts exposure to Agency RMBS. The Company accounts for TBA securities as derivative instruments if either the TBA securities do not settle in the shortest period of time possible or if the Company cannot assert that it is probable at inception and throughout the term of the TBA securities that it will take physical delivery of the Agency RMBS for a long position, or make delivery of the Agency RMBS for a short position, upon settlement of the trade. Derivative Assets (Liabilities), at Fair Value The table below summarizes fair value information about our derivative assets and liabilities as of September 30, 2018 and December 31, 2017 . (in thousands) Derivative Instruments and Related Accounts Balance Sheet Location September 30, 2018 December 31, 2017 Assets Interest rate swaps Derivative assets, at fair value $ 28,030 $ 13,745 Payer swaptions Derivative assets, at fair value 7,357 3,405 TBA securities Derivative assets, at fair value 2,035 10 Total derivative assets, at fair value $ 37,422 $ 17,160 Liabilities Interest rate swaps Derivative liabilities, at fair value $ - $ 215 TBA securities Derivative liabilities, at fair value - 1,823 Total derivative liabilities, at fair value $ - $ 2,038 Margin Balances Posted to (from) Counterparties Futures contracts Restricted cash $ 5,112 $ 5,545 TBA securities Restricted cash - 1,508 TBA securities Other liabilities (1,749) (59) Interest rate swaption contracts Other liabilities (7,581) (3,505) Total margin balances on derivative contracts $ (4,218) $ 3,489 Eurodollar and T-Note futures are cash settled futures contracts on an interest rate, with gains and losses credited or charged to the Company’s cash accounts on a daily basis. A minimum balance, or “margin”, is required to be maintained in the account on a daily basis. The tables below present information related to the Company’s Eurodollar and T-Note futures positions at September 30, 2018 and December 31, 2017 . ($ in thousands) September 30, 2018 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Eurodollar Futures Contracts (Short Positions) 2019 $ 1,500,000 2.16% 3.01% $ 12,841 2020 1,500,000 2.64% 3.17% 7,823 Total / Weighted Average $ 1,500,000 2.40% 3.09% $ 20,664 Treasury Note Futures Contracts (Short Position) (2) December 2018 5-year T-Note futures (Dec 2018 - Dec 2023 Hedge Period) $ 165,000 3.08% 3.20% $ 1,163 ($ in thousands) December 31, 2017 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Eurodollar Futures Contracts (Short Positions) 2018 $ 1,212,500 1.86% 1.98% $ 1,418 2019 1,350,000 2.11% 2.27% 2,152 2020 987,500 2.59% 2.36% (2,360) Total / Weighted Average $ 1,183,333 2.16% 2.20% $ 1,210 Treasury Note Futures Contracts (Short Position) (2) March 2018 10 year T-Note futures (Mar 2018 - Mar 2028 Hedge Period) $ 140,000 2.23% 2.33% $ 755 Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate based on the London Interbank Of fered Rate (“ LIBOR ”) ("payer swaps"). The floating rate we receive under our swap agreements has the effect of offsetting the repricing characteristics of our repurchase agreements and cash flows on such liabilities. We are typically required to post coll ateral on our interest rate swap agreements. The table below presents information related to the Company’s interest rate swap positions at September 30, 2018 and December 31, 2017 . ($ in thousands) Average Net Fixed Average Estimated Average Notional Pay Receive Fair Maturity Amount Rate Rate Value (Years) September 30, 2018 Expiration > 1 to ≤ 3 years $ 900,000 1.56% 2.33% $ 16,734 1.5 Expiration > 3 to ≤ 5 years 360,000 2.05% 2.33% 11,296 3.5 $ 1,260,000 1.70% 2.33% $ 28,030 2.1 December 31, 2017 Expiration > 1 to ≤ 3 years $ 650,000 1.09% 1.41% $ 11,828 2.1 Expiration > 3 to ≤ 5 years 360,000 2.05% 1.53% 1,702 4.3 $ 1,010,000 1.43% 1.45% $ 13,530 2.8 The table below presents information related to the Company’s interest rate swaption positions at September 30, 2018 and December 31, 2017 . ($ in thousands) Option Underlying Swap Weighted Average Weighted Average Average Adjustable Average Fair Months to Notional Fixed Rate Term Expiration Cost Value Expiration Amount Rate (LIBOR) (Years) September 30, 2018 ≤ 1 year Payer Swaptions $ 8,690 $ 7,357 4.1 $ 850,000 3.21% 3 Month 9.2 December 31, 2017 ≤ 1 year Payer Swaptions $ 2,367 $ 3,405 8.0 $ 200,000 2.16% 3 Month 6.0 The following table summarizes our contracts to purchase and sell TBA securities as of September 30, 2018 and December 31, 2017 . ($ in thousands) Notional Net Amount Cost Market Carrying Long (Short) (1) Basis (2) Value (3) Value (4) September 30, 2018 30-Year TBA securities: 3.0% $ (200,000) $ (192,324) $ (191,344) $ 980 3.5% (200,000) (197,804) (196,749) 1,055 Total $ (400,000) $ (390,128) $ (388,093) $ 2,035 December 31, 2017 30-Year TBA securities: 3.0% $ (300,000) $ (299,371) $ (300,153) $ (782) 4.0% (357,000) (373,403) (373,477) (74) 4.5% 356,556 380,371 379,414 (957) Total $ (300,444) $ (292,403) $ (294,216) $ (1,813) Gain (Loss) From Derivative Instruments, Net The table below presents the effect of the Company’s derivative financial instruments on the consolidated statements of operations for the nine and three months ended September 30, 2018 and 2017 . (in thousands) Nine Months Ended September 30, Three Months Ended September 30, 2018 2017 2018 2017 Eurodollar futures contracts (short positions) $ 25,301 $ (6,955) $ 4,640 $ 607 T-Note futures contracts (short position) 9,232 (16,190) 1,482 (6,450) Interest rate swaps 17,032 (3,170) 2,994 1,005 Receiver swaptions (909) - (130) - Payer swaptions 5,627 827 414 827 Net TBA securities 13,264 (3,843) 3,293 (1,459) Total $ 69,547 $ (29,331) $ 12,693 $ (5,470) Credit Risk-Related Contingent Features The use of derivatives creates exposure to credit risk relating to potential losses that could be recognized in the event that the counterparties to these instruments fail to perform their obligations under the contracts. We minimize this risk by limiting our counterparties for instruments which are not centrally cleared on a registered exchange to major financial institutions with acceptable credit ratings and monitoring positions with individual counterparties. In addition, we may be required to pledge assets as collateral for our derivatives, whose amounts vary over time based on the market value, notional amount and remaining term of the derivative contract. In the event of a default by a counterparty , we may not receive payments provided for under the terms of our derivative agreements, and may have difficulty obtaining our assets pledged as collateral for our derivatives. The cash and cash equivalents pledged as collateral for our derivative instruments are i ncluded in restricted cash on our consolidated balance sheets. | [1],[2],[3],[4],[5],[6] |
[1] | Market value represents the current market value of the TBA securities (or of the underlying Agency RMBS ) as of period-end | |
[2] | Market value represents the current market value of the TBA securities (or of the underlying Agency RMBS ) as of period-end | |
[3] | Net carrying value represents the difference between the market value and the cost basis of the TBA securities as of period-end and is reported in derivative assets (liabilities) , at fair valu e in our consolidated balance sheets | |
[4] | Notional amount represents the par value (or principal balance) of the underlying Agency RMBS | |
[5] | Open equity represents the cumulative gains (losses) recorded on open futures positions from inception | |
[6] | T -Note f utures c ontracts were valued at a price of $ 112.48 at September 30, 2018 and $12 4.05 at December 31, 2017 . The no tional contract values of the short positions were $ 185.6 million and $ 173.7 million at September 30, 2018 and December 31, 2017 , respectively |
PLEDGED ASSETS
PLEDGED ASSETS | 9 Months Ended |
Sep. 30, 2018 | |
Financial Instruments Pledged as Collateral [Abstract] | |
Pledged Assets [Text Block] | NOTE 5 . PLEDGED ASSETS Assets Pledged to Counterparties The table below summarizes our assets pledged as collateral under our repurchase agreements and derivative agreements by type, including securities pledged related to securities sold but not yet settled, as of September 30, 2018 and December 31, 2017 . (in thousands) September 30, 2018 December 31, 2017 Repurchase Derivative Repurchase Derivative Assets Pledged to Counterparties Agreements Agreements Total Agreements Agreements Total PT RMBS - fair value $ 3,366,607 $ 10,955 $ 3,377,562 $ 3,612,244 $ - $ 3,612,244 Structured RMBS - fair value 121,163 - 121,163 100,317 - 100,317 Accrued interest on pledged securities 13,740 36 13,776 13,962 - 13,962 Restricted cash 25,816 5,112 30,928 25,296 7,053 32,349 Total $ 3,527,326 $ 16,103 $ 3,543,429 $ 3,751,819 $ 7,053 $ 3,758,872 Assets Pledged from Counterparties The table below summarizes our assets pledged to us from counterparties under our repurchase agreements and derivative agreements as of September 30, 2018 and December 31, 2017 . (in thousands) September 30, 2018 December 31, 2017 Repurchase Derivative Repurchase Derivative Assets Pledged to Orchid Agreements Agreements Total Agreements Agreements Total Cash $ 82 $ 9,330 $ 9,412 $ 67 $ 3,564 $ 3,631 Total $ 82 $ 9,330 $ 9,412 $ 67 $ 3,564 $ 3,631 PT RMBS and U.S. Treasury securities received as margin under our repurchase agreements are not recorded in the consolidated balance sheets because the counterparty retains ownership of the security. Cash received as margin is recognized in cash and cash equivalents with a corresponding amount recognized as an increase in repurchase agreements or other liabilities in the consolidated balance sheets. |
OFFSETTING ASSETS AND LIABILITI
OFFSETTING ASSETS AND LIABILITIES | 9 Months Ended |
Sep. 30, 2018 | |
Offsetting Assets And Liabilities [Abstract] | |
Offsetting Assets and Liabilities [Text Block] | NOTE 6 . OFFSETTING ASSETS AND LIABILITIES The Company’s derivatives and repurchase agreements are subject to underlying agreements with master netting or similar arrangements, which provide for the right of offset in the event of default or in the event of bankruptcy of either party to the transactions. The Company reports its assets and liabilities subject to these arrangements on a gross basis. The following table presents information regarding those assets and liabilities subject to such arra ngements as if the Company had presented them on a net basis as of September 30, 2018 and December 31, 2017 . (in thousands) Offsetting of Assets Net Amount Gross Amount Not Offset in the of Assets Consolidated Balance Sheet Gross Amount Presented Financial Gross Amount Offset in the in the Instruments Cash of Recognized Consolidated Consolidated Received as Received as Net Assets Balance Sheet Balance Sheet Collateral Collateral Amount September 30, 2018 Interest rate swaps $ 28,030 $ - $ 28,030 $ - $ - $ 28,030 Interest rate swaptions 7,357 - 7,357 - (7,357) - TBA securities 2,035 - 2,035 - (1,749) 286 $ 37,422 $ - $ 37,422 $ - $ (9,106) $ 28,316 December 31, 2017 Interest rate swaps $ 13,745 $ - $ 13,745 $ - $ - $ 13,745 Interest rate swaptions 3,405 - 3,405 - (3,405) - TBA securities 10 - 10 - (10) - $ 17,160 $ - $ 17,160 $ - $ (3,415) $ 13,745 (in thousands) Offsetting of Liabilities Net Amount Gross Amount Not Offset in the of Liabilities Consolidated Balance Sheet Gross Amount Presented Financial Gross Amount Offset in the in the Instruments of Recognized Consolidated Consolidated Posted as Cash Posted Net Liabilities Balance Sheet Balance Sheet Collateral Collateral Amount September 30, 2018 Repurchase Agreements $ 3,321,803 $ - $ 3,321,803 $ (3,295,987) $ (25,816) $ - $ 3,321,803 $ - $ 3,321,803 $ (3,295,987) $ (25,816) $ - December 31, 2017 Repurchase Agreements $ 3,533,786 $ - $ 3,533,786 $ (3,508,490) $ (25,296) $ - Interest rate swaps 215 - 215 - - 215 TBA securities 1,823 - 1,823 - (1,508) 315 $ 3,535,824 $ - $ 3,535,824 $ (3,508,490) $ (26,804) $ 530 The amounts disclosed for collateral received by or posted to the same counterparty up to and not exceeding the net amount of the asset or liability presented in the consolidated balance sheets. The fair value of the actual collateral received by or posted to the same counterparty typically exceeds the amounts presented. See Note 5 for a discussion of collateral posted or received against or for repurchase obligations and derivative instruments. |
CAPITAL STOCK
CAPITAL STOCK | 9 Months Ended | |
Sep. 30, 2018 | ||
Capital Stock [Abstract] | ||
Capital Stock | NOTE 7 . CAPITAL STOCK Common Stock Issuances During 2017, the Company completed the following public offerings of shares of its common stock. There were no common stock issuances through public offerings during the nine months ended September 30, 2018 or the three months ended September 30, 2017. ($ in thousands, except per share amounts) Weighted Average Price Book Value Per Share Received Net Type of Offering Period Beginning Ending Per Share (1) Shares Proceeds (2) 2017 At the Market Offering Program (3) First Quarter $ 10.10 $ 9.75 $ 10.13 1,286,196 $ 12,792 At the Market Offering Program (3) Second Quarter 9.75 9.23 10.17 11,012,836 110,065 At the Market Offering Program (3) Fourth Quarter 9.15 8.71 9.81 7,746,052 74,750 20,045,084 $ 197,607 Stock Repurchase Program On July 29, 2015 , the Company’s Board of Directors authorized the repurchase of up to 2,000,000 shares of the Company’s common stock. On February 8, 2018, the Board of Directors approved an increase in the stock repurchase program for up to an additional 4,522,822 shares of the Company's common stock . As part of the s tock repurchase program, shares may be purchased in open market transactions, including through block purchases, through privately negotiated transactions, or p ursuant to any trading plan that may be adopted in accordance with Rule 10b5-1 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Open market repurchases will be made in accordance with Exchange Act Rule 10b-18, which sets certain re strictions on the method, timing, price and volume of open market stock repurchases. The timing, manner, price and amount of any repurchases will be determined by the Company in its discretion and will be subject to economic and market conditions, stock pr ice, applicable legal requirements and other factors. The authorization does not obligate the Company to acquire any particular amount of common stock and the program may be suspended or discontinued at the Company’s discretion without prior notice. From the inception of the stock repurchase program t hrough September 30, 2018 , the Company repurchased a total of 2,285,084 shares at an aggregate cost of approximately $ 18.5 million, including commissions and fees , for a weighted average price of $8.11 per share . No shares were repurchased d uring the year ended December 31, 2017. As of September 30, 2018 , the remaining authorization under the repurchase program is for up to 4,237,738 shares of the Company’s common stock. Cash Dividends The table below presents the cash dividends declared on the Company’s common stock . (in thousands, except per share amounts) Year Per Share Amount Total 2013 $ 1.395 $ 4,662 2014 2.160 22,643 2015 1.920 38,748 2016 1.680 41,388 2017 1.680 70,717 2018 - YTD (1) 0.910 47,817 Totals $ 9.745 $ 225,975 | [1],[2],[3],[4] |
[1] | The Company has entered into six e quity d istribution a greements, five of which have either been terminated because all shares were sold or were replaced with a subsequent agreement . | |
[2] | Net proceeds are net of the underwriters’ discount, if applicable, and other offering costs. | |
[3] | On October 17 , 2018 , the Company declared a dividend of $0. 08 per share to be paid on November 9 , 2018 . The effect of this dividend is included in the table above, but is not reflected in the Company’s financial statements as of September 30, 2018 . | |
[4] | Weighted average p rice received per share is before deducting the underwriters’ discount, if applicable, and other offering costs. |
STOCK INCENTIVE PLAN
STOCK INCENTIVE PLAN | 9 Months Ended |
Sep. 30, 2018 | |
Employee Benefits And Share Based Compensation [Abstract] | |
Stock incentive Plan | NOTE 8 . STOCK INCENTIVE PLAN In October 2012, the Company’s Board of Directors adopted and Bimini, then the Company’s sole stockholder, approved, the Orchid Island Capital, Inc. 2012 Equity Incentive Plan (the “Incentive Plan”) to recruit and retain employees, directors and other service providers, including emplo yees of the Manager and other affiliates. The Incentive Plan provides for the award of stock options, stock appreciation rights, stock award, performance units, other equity-based awards (and dividend equivalents with respect to awards of performance units and other equity-based awards) and incentive awards. The Incentive Plan is administered by the Compensation Committee of the Company’s Board of Directors except that the Company’s full Board of Directors will administer awards made to directors who are n ot employees of the Company or its affiliates. The Incentive Plan provides for awards of up to an aggregate of 10% of the issued and outstanding shares of our common stock (on a fully diluted basis) at the time of the awards, subject to a maximum aggregat e 4,000,000 shares of the Company’s common stock that may be issued under the Incentive Plan. Restricted Stock Awards The table below presents information related to the Company’s restricted common stock at September 30, 2018 and 2017 . ($ in thousands, except per share data) Nine Months Ended September 30, 2018 2017 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Unvested, beginning of period - $ - 8,000 $ 12.23 Granted - - - - Vested and issued - - (8,000) 12.23 Unvested, end of period - $ - - $ - Compensation expense during period $ - $ 33 Stock Awards The Company issues immediately vested common stock under the Incentive Plan to certain executive officers, employees and directors. The following table presents information related to fully vested common stock issued during the nine months ended September 30, 2018 and 2017 . ($ in thousands, except per share data) Nine Months Ended September 30, 2018 2017 Fully vested shares granted (1) 37,920 25,848 Weighted average grant date price per share $ 7.62 $ 9.76 Compensation expense related to fully vested shares of common stock awards (2) $ 289 $ 252 The table above includes 31,816 fully vested shares of common stock which were granted in January and April 2018 with respect to service performed during 2017 and 17,335 fully vested shares common stock which were granted in January and March 2017 with respect to service performed during 2016. Approximately $244,000 of compensation expense related to the 2018 share awards was accrued and recognized in 2017. Approximately $168,000 of compensation expense related to the 2017 share awards was accrued and recognized in 2016. Performance Units The Company may issue performance units under the Incentive Plan to certain executive officers and employees. “Performance U nits ” vest after the end of a defined performance period, based on satisfaction of the performance conditions set forth in the performance unit agreement. When earned, each Performance Unit will be settled by the issuance of one share of the Company’s common s tock, at which time the Performance Unit will be cancelled. The Performance Units contain dividend equivalent rights , which entitle the Participants to receive distributions declared by the Company on common stock, but do not include the right to vote the shares. Performance Units are subject to forfeiture should the participant no lon ger serve as an executive officer or employee of the Company. Compensation expense for the Performance Units is recognized over the remaining vesting period once it becomes probable that the performance conditions will be achieved. The following table presents information related to Performance Units outstanding during the nine months ended September 30, 2018 and 2017 . ($ in thousands, except per share data) Nine Months Ended September 30, 2018 2017 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Unvested, beginning of period 41,693 $ 9.95 45,305 $ 10.33 Granted 27,935 7.45 15,707 9.55 Forfeited (2,161) 8.49 - - Vested and issued (18,301) 10.16 (14,490) 10.52 Unvested, end of period 49,166 $ 8.52 46,522 $ 10.01 Compensation expense during period $ 150 $ 188 Unrecognized compensation expense, end of period $ 205 $ 217 Intrinsic value, end of period $ 356 $ 474 Weighted-average remaining vesting term (in years) 1.2 1.2 Deferred Stock Units Beginning with the second quarter of 2018, non-employee directors received a portion of their compensation in the form of Deferred Stock Unit awards (“DSUs”) pursuant to the Incentive Plan. Each DSU represents a right to receive one share of the Company’s common stock. The DSUs are immediately vested and are settled at a future date based on the election of the individual participant. The DSUs are settled in shares of the Company’s common stock equal to the number of units in the pa rticipant’s account at the time of settlement. The DSUs contain dividend equivalent rights , which entitle the participant to receive distributions declared by the Company on common stock. These distributions will be made in the form of additional DSUs or cash at the participant’s election. The DSUs do not include the right to vote the underlying shares of common stock. The cost of these awards is determined by the market value of the shares at the date of grant. The following table presents information re lated to the DSUs outstanding during the nine months ended September 30, 2018 . ($ in thousands, except per share data) Weighted Average Grant Date Shares Fair Value Outstanding, beginning of period - $ - Granted and vested 6,046 7.52 Issued - - Outstanding, end of period 6,046 $ 7.52 Compensation expense during period $ 90 Intrinsic value, end of period $ 44 |
COMMITTMENTS AND CONTINGENCIES
COMMITTMENTS AND CONTINGENCIES | 9 Months Ended |
Sep. 30, 2018 | |
Commitments And Contingencies Disclosure [Abstract] | |
Commitments And Contingencies | NOTE 9 . COMMITMENTS AND CONTINGENCIES From time to time, the Company m ay become involved in various claims and legal actions arising in the ordinary course of business. Management is not aware of any reported or unreported contingencies at September 30, 2018 . |
INCOME TAXES
INCOME TAXES | 9 Months Ended |
Sep. 30, 2018 | |
Income Tax Disclosure [Abstract] | |
Income Taxes | NOTE 10 . INCOME TAXES The Company will generally not be subject to federal income tax on its REIT taxable income to the extent that it distributes its REIT taxable income to its stockholders and satisfies the ongoing REIT requirements, including meeting certain asset, income and stock ownership tests. A REIT must generally distribute at least 90% of its REIT taxable income to its stockholders, of which 85% generally must be distributed within the taxable year, in order to avoid the imposition of a n excise tax. The remaining balance may be distributed up to the end of the following taxable year, provided the REIT elects to treat such amount as a prior year distribution and meets certain other requirements. |
EARNINGS PER SHARE
EARNINGS PER SHARE | 9 Months Ended |
Sep. 30, 2018 | |
Earnings Per Share [Abstract] | |
Earnings Per Share (EPS) | NOTE 11 . EARNINGS PER SHARE (EPS) The Company had dividend eligible shares of restricted common stock and Performance Units that were outstanding during the nine and three months ended September 30, 2018 and 2017 . The basic and diluted per share computations include these unvested shares of restricted common stock and performance units if there is income available to common stock, as they have dividend participation rights. The shares of restricted common stock and Performance Units have no contractual obligation to s hare in losses. Because there is no such obligation, the shares of restricted common stock and Performance Units are not included in the basic and diluted EPS computations when no income is available to common stock even though they are considered particip ating securities. The table below reconciles the numerator and denominator of EPS for the nine and three months ended September 30, 2018 and 2017 . (in thousands, except per-share information) Nine Months Ended September 30, Three Months Ended September 30, 2018 2017 2018 2017 Basic and diluted EPS per common share: Numerator for basic and diluted EPS per share of common stock: Net (loss) income - Basic and diluted $ (17,988) $ 7,989 $ (2,960) $ 15,183 Weighted average shares of common stock: Shares of common stock outstanding at the balance sheet date 52,039 45,308 52,039 45,308 Unvested dividend eligible share based compensation outstanding at the balance sheet date - 47 - 47 Effect of weighting 499 (6,747) (4) - Weighted average shares-basic and diluted 52,538 38,608 52,035 45,355 Net (loss) income per common share: Basic and diluted $ (0.34) $ 0.21 $ (0.06) $ 0.33 Anti-dilutive incentive shares not included in calculation. 55 - 61 - |
FAIR VALUE
FAIR VALUE | 9 Months Ended |
Sep. 30, 2018 | |
Fair Value Disclosures [Abstract] | |
Fair Value | NOTE 12 . FAIR VALUE Authoritative accounting literature establishes a framework for using fair value to measure assets and liabilities and defines fair value as the price that would be received to sell an asset or paid to transfer a liability (an exit price) as opposed to the price that would be paid to acquire the asset or received to assume the liability (an entry price). A fair value measure should reflect the assumptions that market participants would use in pricing the asset or liability, incl uding the assumptions about the risk inherent in a particular valuation technique, the effect of a restriction on the sale or use of an asset and the risk of non-performance. Required disclosures include stratification of balance sheet amounts measured at fair value based on inputs the Company uses to derive fair value measurements. These stratifications are: Level 1 valuations, where the valuation is based on quoted market prices for identical assets or liabilities traded in active markets (which include exchanges and over-the-counter markets with sufficient volume), Level 2 valuations, where the valuation is based on quoted market prices for similar instruments traded in active markets, quoted prices for identical or similar instruments in markets that are not active and model-based valuation techniques for which all significant assumptions are observable in the market, and Level 3 valuations, where the valuation is generated from model-based techniques that use significant assumptions not observable in the market, but observable based on Company-specific data. These unobservable assumptions reflect the Company’s own estimates for assumptions that market participants would use in pricing the asset or liability. Valuation techniques typically include optio n pricing models, discounted cash flow models and similar techniques, but may also include the use of market prices of assets or liabilities that are not directly comparable to the subject asset or liability. The Company's RMBS, interest rate swaps, interest rate swaptions and TBA securities are valued using Level 2 valuations, and such valuations currently are determined by the Company based on independent pricing sources and/or third party broker quotes, when available. Because the price estimates may vary, the Company must make certain judgments and assumptions about the appropriate price to use to calculate the fair values. The Company and the independent pricing sources use various valuation techniques to determine the price of the Company’s securities. These techniques include observing the most recent market for like or identical assets, spread pricing techniques (option adjusted spread, zero volatility spread, spread to the treasury curve or spread to a benchmark such as a TBA), and model driven approaches (the discounted cash flow method, Black Scholes and SABR models which rely upon observable market rates such as the term structure of interest rates and the volatility). The appropriate spread pricing method used is based on market convention. The pricing source determines the spread of recently observed trade activity or observable markets for assets similar to those being priced. The spread is then adjusted based on variances in certain characteristics between the market observation and the asset being priced. Those characteristics include: type of asset, the expected life of the asset, the stability and predictability of the expected future cash flows of the asset, whether the coupon of the asset is fixed or adjustable, the guarantor of the security if applicable, the coupon, the maturity, the issuer, size of the underlying loans, year in which the underlying loans were originated, loan to value ratio, state in which the underlying loans reside, credit score of the underlying borrowers and other variables if appropriate. The fair value of the security is determined by using the adjusted spread. RMBS (based on the fair value option), interest rate swaps, interest rate swaptions, TBA securities and futures contracts were recorded at fair value on a recurring basis during the nine and three months ended September 30, 2018 and 2017 . When determining fair value measurements, the Company considers the principal or most advantageous market in which it would transact and considers a ssumptions that market participants would use when pricing the asset. When possible, the Company looks to active and observable markets to price identical assets. When identical assets are not traded in active markets, the Company looks to market obse rvable data for similar assets. The following table presents financial assets (liabilities) measured at fair value on a recurring basis as of September 30, 2018 and December 31, 2017 : (in thousands) Quoted Prices in Active Significant Markets for Other Significant Identical Observable Unobservable Fair Value Assets Inputs Inputs Measurements (Level 1) (Level 2) (Level 3) September 30, 2018 Mortgage-backed securities $ 3,513,956 $ - $ 3,513,956 $ - Interest rate swaps 28,030 - 28,030 - Interest rate swaptions 7,357 - 7,357 - TBA securities 2,035 - 2,035 - December 31, 2017 Mortgage-backed securities $ 3,744,811 $ - $ 3,744,811 $ - Interest rate swaps 13,530 - 13,530 - Interest rate swaptions 3,405 - 3,405 - TBA securities (1,813) - (1,813) - During the nine and three months ended September 30, 2018 and 2017 , there were no transfers of financial assets or liabilities between levels 1, 2 or 3. |
RELATED PARTY TRANSACTIONS
RELATED PARTY TRANSACTIONS | 9 Months Ended |
Sep. 30, 2018 | |
Related Party Transactions [Abstract] | |
Related Party Transactions | NOTE 13 . RELATED PARTY TRANSACTIONS Management Agreement The Company is externally managed and advised by Bimini Advisors, LLC (the “Manager”) pursuant to the terms of a management agreement. The management agreement has been renewed through February 20, 201 9 and provides for automatic one-year extension options thereafter and is subject to certain termination rights. Under the terms of the management agreement, the Manager is responsible for administering the business activities and day-to-day opera tions of the Company. The Manager receives a monthly management fee in the amount of: One-twelfth of 1.5% of the first $250 million of the Company’s equity, as defined in the management agreement, One-twelfth of 1.25% of the Company’s equity that is grea ter than $250 million and less than or equal to $500 million, and One-twelfth of 1.00% of the Company’s equity that is greater than $500 million. The Company is obligated to reimburse the Manager for any direct expenses incurred on its behalf and to pay t he Manager the Company’s pro rata portion of certain overhead costs set forth in the management agreement. Should the Company terminate the management agreement without cause, it will pay the Manager a termination fee equal to three times the average a nnual management fee, as defined in the management agreement, before or on the last day of the term of the agreement. Total expenses recorded for the management fee and costs incurred were approximately $5.9 million and $1.9 million for the nine and three months ended September 30, 2018 , respectively, and approximately $5.4 million and $1.9 for the nine and three months ended September 30, 2017 , respectively. At September 30, 2018 and December 31, 2017 , the net amount due to affiliates w as approximately $0.6 million and $0.8 million, respectively. Other Relationships with Bimini Robert Cauley, our Chief Executive Officer and Chairman of our Board of Directors, also serves as Chief Executive Officer and Chairman of the Board of Directors of Bimini and owns shares of common stock of Bimini. George H. Haas, our Chief Financial Officer, Chief Investment Officer, Secretary and a member of our Board of Directors, also serves as the Chief Financial Officer, Chief Investment Officer and Treasurer of Bimini and owns shares of common stock of Bimini. In addition, as of September 30, 2018 , Bimini owned 1,520,036 shares, or 2.9% , of the Company’s common stock. |
BASIS OF PRESENTATION (Policies
BASIS OF PRESENTATION (Policies) | 9 Months Ended |
Sep. 30, 2018 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation and Use of Estimates The accompanying unaudited consolidated financial statements have been prepared in accordance with accounting principles generally accept ed in the United States (“GAAP”) for interim financial information and with the instructions to Form 10-Q a nd Article 8 of Regulation S-X. Accordingly, they do not include all of the information and footnotes required by GAAP for complete financial statements. The consolidated financial statements include the accounts of our wholly-owned subsidiary, Orchid Island Casualty, LLC. Significant intercompany accounts and transactions have been eliminated. In the opinion of management, all adjustments (consisting of normal recurring accruals) considered necessary for a fair p resentation have been included. Operating results for the nine and three month period s ended September 30, 2018 are not necessarily indicative of the results that may be exp ected for the year end ing December 31, 2018 . The balance sheet at December 31, 2017 has been derived from the audited financial statements at that date but does not include all of the information and footnotes required by GAAP for complete financial statements. For further information, refer to the financial statements and footnotes thereto included in the Company’s A nnual R eport on Form 10-K for the year ended December 31, 2017 . |
Use of Estimates | The preparation of financial statements in conformity with GAAP re quires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses dur ing the reporting period. Actual results could differ from those estimates. The significant estimates affecting the accompanying financial statements are the fair values of RMBS and derivatives . |
Statement of Comprehensive Income | Statement of Comprehensive Income (Loss) In accordance with the Financial Accounting Standards Board (the “FASB”) Accounting Standards Codification (“ASC”) Topic 220, Comprehensive Income , a statement of comprehensive income (loss) has not been included as the Company has no items of other comprehensive income (loss) . Comprehensive income (loss) is the same as net income (loss) for the periods presented. |
Cash and Cash Equivalents and Restricted Cash | Cash and Cash Equivalents and Restricted Cash Cash and cash equivalents include cash on deposit with financial institutions and highly liquid investments with original maturities of three months or less at the time of purchase . Restricted cash includes cash pledged as collateral for repurchase agreements and other borrowings, and interest rate swaps and other derivative instruments. The following table pr ovides a reconciliation of cash, cash equivalents, and restricted cash reported within the statement of financial position that sum to the total of the same such amounts shown in the statement of cash flows. (in thousands) September 30, 2018 December 31, 2017 Cash and cash equivalents $ 164,393 $ 214,363 Restricted cash 30,928 32,349 Total cash, cash equivalents and restricted cash $ 195,321 $ 246,712 The Company maintains cash balances at four banks and excess margin on account at derivative exchanges, and, at times, balances may exceed federally insured limits. The Company has not experienced any losses related to these balances. The Federal Deposit Insurance Corporation insures eligible accounts up to $250,000 per depositor at each financial institution. At September 30, 2018 , the Company’s cash deposits exceeded federally insured limits by approximately $160.4 million. Restric ted cash balances are uninsured, but are held in separate customer accounts that are segregated from the general funds of the counterparty. The Company limits uninsured balances to only large, well-known bank and derivative exchanges and believes that it is not exposed to any significant credit risk on cash and cash equivalents or restricted cash balances. |
Mortgage-Backed Securities | Mortgage-Backed Securities The Company invests primarily in mortgage pass-through (“PT”) certificates, collateralized mortgage obligations, interest- only (“IO”) securities and inverse interest- only (“IIO”) securities representing interest in or obligations backed by pools of RMBS . T he Company has elected to account for its investment in RMBS under the fair value option. Electing the fair value option require s the Company to record changes in fair value in the consolidated statement of operations, which, in management’s view, more appropriately reflects the results of our operations for a particular reporting period and is consistent with the underlying economics and how the portfolio is managed. The Company records RMBS transactions on the trade date. Security purchases that have not settled as of the balance sheet date are included in the RMBS balance with an offsetting liability recorded, whereas sec urities sold that have not settled as of the balance sheet date are removed from the RMBS balance with an offsetting receivable recorded. The fair value of the Company’s investments in RMBS is governed by FASB ASC 820, Fair Value Measurement . The definition of fair value in FASB ASC 820 focuses on the price that would be received to sell the asset or paid to transfer the liability in an orderly transaction between market participants at the measurement date. The fair value measurement assumes that the transaction to sell the asset or transfer the liability either occurs in the principal market for the asset or liability, or in the absence of a principal market, occurs in the most advantageous market for the asset or liability. Estimated fair va lues for RMBS are based on independent pricing sources and/or third party broker quotes, when available . Income on PT RMBS securities is based on the stated interest rate of the security. Premiums or discounts present at the date of purchase are not amor tized. Premium lost and discount accretion resulting from monthly principal repayments are reflected in unrealized gains (losses) on RMBS in the consolidated statements of operations. For IO securities, the income is accrued based on the carrying value and the effective yield. The difference between income accrued and the interest received on the security is characterized as a return of investment and serves to reduce the asset’s carrying value. At each reporting date, the effective yield is adjusted prospe ctively for future reporting period s based on the new estimate of prepayments and the contractual terms of the security. For IIO securities, effective yield and income recognition calculations also take into account the index value applicable to the securi ty. Changes in fair value of RMBS during each reporting period are recorded in earnings and reported as unrealized gains or losses on mortgage-backed securities in the accompanying consolidated statements of operations. |
Derivative Financial Instruments | Derivative Financial Instruments The Company uses derivative instruments to manage interest rate risk, facilitate asset/liability strategies and manage other exposures, and it may continue to do so in the future. The principal instruments that the Company has used to date are Treasury Not e (“T-Note”) and Eurodollar futures contracts, interest rate swaps, options to enter in interest rate swaps (“interest rate swaptions”) and “to-be-announced” (“TBA”) securities transactions, but the Company may enter into other derivatives in the future. The Company accounts for TBA securities as derivative instruments if either the TBA securities do not settle in the shortest period of time possible or if the Company cannot assert that it is probable at inception of the TBA transaction, or throughout its term, that it will take physical delivery of the Agency RMBS for a long position, or make delivery of the Agency RMBS for a short posi tion, upon settlement of the trade. Gains and losses associated with TBA securities transactions are reported in gain (loss) on derivative instruments in the accompanying consolidated statements of operations. The Company has elected not to treat any of its derivative financial instruments as hedges in order to align the accounting treatment of its derivative instruments with the treatment of its portfoli o assets under the fair value option election . FASB ASC Topic 815, Derivatives and Hedging , requires that all derivative instruments be carried at fair value. Changes in fair value are recorded in earnings for each period. Holding d erivatives creates exposure to credit risk related to the potential for failure on the part of counterparties and exchanges to honor their commitments. In addition, the Company may be required to post collateral based on any decli nes in the market value o f the d erivatives. In the event of default by a counterparty, the Company may have difficulty recovering its collateral and may not receive payments provided for under the terms of the agreement . To mitigate this risk, the Company uses only well-establis hed comme rcial banks and exchanges as counterparties. |
Financial Instruments | Financial Instruments FASB ASC 825, Financial Instruments , requires disclosure of the fair value of financial instruments for which it is practicable to estimate that value, either in the body of the financial statements or in the accompanying notes. RMBS, Eurodollar and T-Note futures contracts, interest rate swaps, interest rate swaptions and TBA securities are accounted for at fair value in the consolidated balance sheets. The methods and assumptions used to estimate fair value for these instruments are presented in Note 12 of the consolidated financial statements. The estimated fair value of cash and cash equivalents, restricted cash, accrued interest receivable, receivable for securities sold, other assets, due to affiliates, repurchase agreements , payable for unsettled securities purchased, accrued interest payable and other liabilities g enerally approximates their carrying values as of September 30, 2018 and December 31, 2017 due to the short-term nature of these financial instruments. |
Repurchase Agreements | Repurchase Agreements The Company finances the acquisition of the majority of its RMBS through the use of repurchase agreements under master repurchase agreements. Pursuant to ASC Topic 860, Transfers and Servicing , the Company accounts for repurchase transactions as collateralized financing transactions, which are carried at their contract ual amounts, including accrued interest, as specified in the respective agreements. |
Management Fees | Manager Compensation The Company is externally managed by Bimini Advisors, LLC ( th e “Manager” or “Bimini Advisors”) , a Maryland limited liability company and wh olly-owned subsidiary of Bimini . The Company’s management agreement with the Manager provides for payment to the Manager of a management fee and reimbursement of certain operating expenses, which are accrued and expensed during the period for which they are earned o r incurred. Refer to Note 13 for the terms of the management agreement. |
Earnings Per Share | Earnings Per Share The Company follows the provisions of FASB ASC 260, Earnings Per Share . Basic earnings per share (“EPS”) is calculated as net income or loss attributable to common stockholders divided by the weighted average number of shares of common stock outstanding or subscribed during the period. Diluted EPS is calculated using the treasury stock or two-class method, as applicable, for common stock equivalents, if any. H owever, the common stock equivalents are not included in computing diluted EPS if the result is anti-dilutive. |
Income Taxes | Income Taxes Orchid has qualified and elected to be taxed as a real estate investment trust (“REIT”) under the Internal Revenue Code of 1986, as amended (the “Code ”). REITs are generally not subject to federal income tax on their REIT taxable income provided that they distribute to their stockholders at least 90% of their REIT taxable income on an annual basis. In addition, a REIT must meet other provisions of the Code to retain its tax status. Orchid measures , recognizes and presents its uncertain tax positions in accordance with FASB ASC 740, Income Taxes . Under that guidance, Orchid assesses the likelihood, based on their technical merit, that tax positions will be sustained upon examination based on the fa cts, circumstances and information available at the end of each period. All of Orchid’s tax positions are categorized as highly certain. There is no accrual for any tax, interest or penalties related to Orchid’s tax position assessment. The measurement of uncertain tax positions is adjusted when new information is available, or when an event occurs that requires a change. |
Recent Accounting Pronouncements | Recent Accounting Pronouncements In November 2016, the FASB issued Accounting Standards Update (“ASU”) 2016-18, Statement of Cash Flows – (Topic 230): Restricted Cash. ASU 2016-18 requires that restricted cash and restricted cash equivalents be included as components of total cash and cash equivalents as presented on the statement of cash flows. ASU 2016-18 is effec tive for fiscal years, and for interim periods within those years, beginning after December 15, 2017. Early application is permitted. The Company early adopted the ASU beginning with the first quarter of 2017. In August 2016, the FASB issued ASU 2016-1 5, Statement of Cash Flows – (Topic 230): Classification of Certain Cash Receipts and Cash Payments. ASU 2016-15 addresses eight specific cash flow issues with the objective of reducing the existing diversity in practice. ASU 2016-15 is effective for fisca l years, and for interim periods within those years, beginning after December 15, 2017. The Company’s adoption of this ASU did not have a material impact on its consolidated financial statements. In June 2016, the FASB issued ASU 2016-13, Financial Instr uments – Credit Losses (Topic 326): Measurement of Credit Losses on Financial Instruments. ASU 2016-13 requires credit losses on most financial assets measured at amortized cost and certain other instruments to be measured using an expected credit loss mod el (referred to as the current expected credit loss model). ASU 2016-13 is effective for fiscal years, and for interim periods within those years, beginning after December 15, 2019. Early application is permitted for fiscal periods beginning after Decembe r 15, 2018. The Company is currently evaluating the potential effect of this ASU on its consolidated financial statements. In January 2016, the FASB issued ASU 2016-01, Financial Instruments-Overall (Subtopic 825-10): Recognition and Measurement of Finan cial Assets and Financial Liabilities . ASU 2016-01 provides guidance for the recognition, measurement, presentation and disclosure of financial assets and financial liabilities. ASU 2016-01 is effective for fiscal years, and for interim periods within th ose years, beginning after December 15, 2017 and, for most provisions, is effective using the cumulative-effect transition approach. |
CASH AND CASH EQUIVALENTS AND R
CASH AND CASH EQUIVALENTS AND RESTRICTED CASH (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Accounting Policies [Abstract] | |
Schedule of reconciliation of cash, cash equivalents and restricted cash | The following table pr ovides a reconciliation of cash, cash equivalents, and restricted cash reported within the statement of financial position that sum to the total of the same such amounts shown in the statement of cash flows. (in thousands) September 30, 2018 December 31, 2017 Cash and cash equivalents $ 164,393 $ 214,363 Restricted cash 30,928 32,349 Total cash, cash equivalents and restricted cash $ 195,321 $ 246,712 |
MORTGAGE-BACKED SECURITIES (Tab
MORTGAGE-BACKED SECURITIES (Tables) - Residential Mortgage Backed Securities [Member] | 9 Months Ended |
Sep. 30, 2018 | |
Mortgage Backed Securities [Line Items] | |
Schedule of RMBS portfolio | The following table presents the Company’s RMBS portfolio as of September 30, 2018 and December 31, 2017 : (in thousands) September 30, 2018 December 31, 2017 Pass-Through RMBS Certificates: Hybrid Adjustable-rate Mortgages $ - $ 27,398 Adjustable-rate Mortgages 1,437 1,754 Fixed-rate Mortgages 2,616,916 3,594,533 Fixed-rate CMOs 760,587 - Total Pass-Through Certificates 3,378,940 3,623,685 Structured RMBS Certificates: Interest-Only Securities 111,929 86,918 Inverse Interest-Only Securities 23,087 34,208 Total Structured RMBS Certificates 135,016 121,126 Total $ 3,513,956 $ 3,744,811 |
Schedule of RMBS portfolio according to the contractual maturities of the securities in the portfolio | The following table summarizes the Company’s RMBS portfolio as of September 30, 2018 and December 31, 2017 , according to the contractual maturities of the securities in the portfolio. Actual maturities of RMBS investments are generally shorter than stated contractual maturities and are affected by the contractual lives of the underlying mortgages, periodic payments of principal, and prepayments of principal . (in thousands) September 30, 2018 December 31, 2017 Greater than one year and less than five years $ - $ 29 Greater than five years and less than ten years 6,219 3,281 Greater than or equal to ten years 3,507,737 3,741,501 Total $ 3,513,956 $ 3,744,811 |
REPURCHASE AGREEMENTS AND OTH_2
REPURCHASE AGREEMENTS AND OTHER BORROWINGS (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Disclosure of Repurchase Agreements [Abstract] | |
Schedule of repurchase agreements and remaining maturities | As of September 30, 2018 and 2017 , the Company’s repurchase agreements had remaining maturities as summarized below: ($ in thousands) OVERNIGHT BETWEEN 2 BETWEEN 31 GREATER (1 DAY OR AND AND THAN LESS) 30 DAYS 90 DAYS 90 DAYS TOTAL September 30, 2018 Fair market value of securities pledged, including accrued interest receivable $ 252,556 $ 1,275,229 $ 1,984,716 $ - $ 3,512,501 Repurchase agreement liabilities associated with these securities $ 243,602 $ 1,181,946 $ 1,896,255 $ - $ 3,321,803 Net weighted average borrowing rate 2.24% 2.32% 2.30% - 2.30% December 31, 2017 Fair market value of securities pledged, including accrued interest receivable $ - $ 1,983,958 $ 1,266,590 $ 475,975 $ 3,726,523 Repurchase agreement liabilities associated with these securities $ - $ 1,871,833 $ 1,208,518 $ 453,435 $ 3,533,786 Net weighted average borrowing rate - 1.53% 1.53% 1.57% 1.54% |
DERIVATIVE FINANCIAL INSTRUME_2
DERIVATIVE FINANCIAL INSTRUMENTS (Tables) | 9 Months Ended | |
Sep. 30, 2018 | ||
Derivative Financial Instruments [Abstract] | ||
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | Derivative Assets (Liabilities), at Fair Value The table below summarizes fair value information about our derivative assets and liabilities as of September 30, 2018 and December 31, 2017 . (in thousands) Derivative Instruments and Related Accounts Balance Sheet Location September 30, 2018 December 31, 2017 Assets Interest rate swaps Derivative assets, at fair value $ 28,030 $ 13,745 Payer swaptions Derivative assets, at fair value 7,357 3,405 TBA securities Derivative assets, at fair value 2,035 10 Total derivative assets, at fair value $ 37,422 $ 17,160 Liabilities Interest rate swaps Derivative liabilities, at fair value $ - $ 215 TBA securities Derivative liabilities, at fair value - 1,823 Total derivative liabilities, at fair value $ - $ 2,038 Margin Balances Posted to (from) Counterparties Futures contracts Restricted cash $ 5,112 $ 5,545 TBA securities Restricted cash - 1,508 TBA securities Other liabilities (1,749) (59) Interest rate swaption contracts Other liabilities (7,581) (3,505) Total margin balances on derivative contracts $ (4,218) $ 3,489 | |
Schedule of Eurodollar and T-Note futures positions | Eurodollar and T-Note futures are cash settled futures contracts on an interest rate, with gains and losses credited or charged to the Company’s cash accounts on a daily basis. A minimum balance, or “margin”, is required to be maintained in the account on a daily basis. The tables below present information related to the Company’s Eurodollar and T-Note futures positions at September 30, 2018 and December 31, 2017 . ($ in thousands) September 30, 2018 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Eurodollar Futures Contracts (Short Positions) 2019 $ 1,500,000 2.16% 3.01% $ 12,841 2020 1,500,000 2.64% 3.17% 7,823 Total / Weighted Average $ 1,500,000 2.40% 3.09% $ 20,664 Treasury Note Futures Contracts (Short Position) (2) December 2018 5-year T-Note futures (Dec 2018 - Dec 2023 Hedge Period) $ 165,000 3.08% 3.20% $ 1,163 ($ in thousands) December 31, 2017 Average Weighted Weighted Contract Average Average Notional Entry Effective Open Expiration Year Amount Rate Rate Equity (1) Eurodollar Futures Contracts (Short Positions) 2018 $ 1,212,500 1.86% 1.98% $ 1,418 2019 1,350,000 2.11% 2.27% 2,152 2020 987,500 2.59% 2.36% (2,360) Total / Weighted Average $ 1,183,333 2.16% 2.20% $ 1,210 Treasury Note Futures Contracts (Short Position) (2) March 2018 10 year T-Note futures (Mar 2018 - Mar 2028 Hedge Period) $ 140,000 2.23% 2.33% $ 755 | [1],[2] |
Schedule of Interest Rate Swap Agreements [Table Text Block] | 1 to ≤ 3 years $ 900,000 1.56% 2.33% $ 16,734 1.5 Expiration > 3 to ≤ 5 years 360,000 2.05% 2.33% 11,296 3.5 $ 1,260,000 1.70% 2.33% $ 28,030 2.1 December 31, 2017 Expiration > 1 to ≤ 3 years $ 650,000 1.09% 1.41% $ 11,828 2.1 Expiration > 3 to ≤ 5 years 360,000 2.05% 1.53% 1,702 4.3 $ 1,010,000 1.43% 1.45% $ 13,530 2.8" id="sjs-B6">Under our interest rate swap agreements, we typically pay a fixed rate and receive a floating rate based on the London Interbank Of fered Rate (“ LIBOR ”) ("payer swaps"). The floating rate we receive under our swap agreements has the effect of offsetting the repricing characteristics of our repurchase agreements and cash flows on such liabilities. We are typically required to post coll ateral on our interest rate swap agreements. The table below presents information related to the Company’s interest rate swap positions at September 30, 2018 and December 31, 2017 . ($ in thousands) Average Net Fixed Average Estimated Average Notional Pay Receive Fair Maturity Amount Rate Rate Value (Years) September 30, 2018 Expiration > 1 to ≤ 3 years $ 900,000 1.56% 2.33% $ 16,734 1.5 Expiration > 3 to ≤ 5 years 360,000 2.05% 2.33% 11,296 3.5 $ 1,260,000 1.70% 2.33% $ 28,030 2.1 December 31, 2017 Expiration > 1 to ≤ 3 years $ 650,000 1.09% 1.41% $ 11,828 2.1 Expiration > 3 to ≤ 5 years 360,000 2.05% 1.53% 1,702 4.3 $ 1,010,000 1.43% 1.45% $ 13,530 2.8 | |
Schedule Of Interest Rate Swaption Agreements [Table Text Block] | The table below presents information related to the Company’s interest rate swaption positions at September 30, 2018 and December 31, 2017 . ($ in thousands) Option Underlying Swap Weighted Average Weighted Average Average Adjustable Average Fair Months to Notional Fixed Rate Term Expiration Cost Value Expiration Amount Rate (LIBOR) (Years) September 30, 2018 ≤ 1 year Payer Swaptions $ 8,690 $ 7,357 4.1 $ 850,000 3.21% 3 Month 9.2 December 31, 2017 ≤ 1 year Payer Swaptions $ 2,367 $ 3,405 8.0 $ 200,000 2.16% 3 Month 6.0 | |
Schedule of To Be Announced Securities [TableTextBlock] | The following table summarizes our contracts to purchase and sell TBA securities as of September 30, 2018 and December 31, 2017 . ($ in thousands) Notional Net Amount Cost Market Carrying Long (Short) (1) Basis (2) Value (3) Value (4) September 30, 2018 30-Year TBA securities: 3.0% $ (200,000) $ (192,324) $ (191,344) $ 980 3.5% (200,000) (197,804) (196,749) 1,055 Total $ (400,000) $ (390,128) $ (388,093) $ 2,035 December 31, 2017 30-Year TBA securities: 3.0% $ (300,000) $ (299,371) $ (300,153) $ (782) 4.0% (357,000) (373,403) (373,477) (74) 4.5% 356,556 380,371 379,414 (957) Total $ (300,444) $ (292,403) $ (294,216) $ (1,813) | [3],[4],[5],[6] |
Schedule of the effect of the Company's deriviative financial instruments on the consolidated statement of operations | Gain (Loss) From Derivative Instruments, Net The table below presents the effect of the Company’s derivative financial instruments on the consolidated statements of operations for the nine and three months ended September 30, 2018 and 2017 . (in thousands) Nine Months Ended September 30, Three Months Ended September 30, 2018 2017 2018 2017 Eurodollar futures contracts (short positions) $ 25,301 $ (6,955) $ 4,640 $ 607 T-Note futures contracts (short position) 9,232 (16,190) 1,482 (6,450) Interest rate swaps 17,032 (3,170) 2,994 1,005 Receiver swaptions (909) - (130) - Payer swaptions 5,627 827 414 827 Net TBA securities 13,264 (3,843) 3,293 (1,459) Total $ 69,547 $ (29,331) $ 12,693 $ (5,470) | |
[1] | Open equity represents the cumulative gains (losses) recorded on open futures positions from inception | |
[2] | T -Note f utures c ontracts were valued at a price of $ 112.48 at September 30, 2018 and $12 4.05 at December 31, 2017 . The no tional contract values of the short positions were $ 185.6 million and $ 173.7 million at September 30, 2018 and December 31, 2017 , respectively | |
[3] | Market value represents the current market value of the TBA securities (or of the underlying Agency RMBS ) as of period-end | |
[4] | Market value represents the current market value of the TBA securities (or of the underlying Agency RMBS ) as of period-end | |
[5] | Net carrying value represents the difference between the market value and the cost basis of the TBA securities as of period-end and is reported in derivative assets (liabilities) , at fair valu e in our consolidated balance sheets | |
[6] | Notional amount represents the par value (or principal balance) of the underlying Agency RMBS |
PLEDGED ASSETS (Tables)
PLEDGED ASSETS (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Financial Instruments Pledged as Collateral [Abstract] | |
Schedule of assets pledged as collateral under our repurchase agreements, prime brokerage clearing accounts, derivative agreements and insurance capital by type, including securities pledged related to securities sold but not yet settled | Assets Pledged to Counterparties The table below summarizes our assets pledged as collateral under our repurchase agreements and derivative agreements by type, including securities pledged related to securities sold but not yet settled, as of September 30, 2018 and December 31, 2017 . (in thousands) September 30, 2018 December 31, 2017 Repurchase Derivative Repurchase Derivative Assets Pledged to Counterparties Agreements Agreements Total Agreements Agreements Total PT RMBS - fair value $ 3,366,607 $ 10,955 $ 3,377,562 $ 3,612,244 $ - $ 3,612,244 Structured RMBS - fair value 121,163 - 121,163 100,317 - 100,317 Accrued interest on pledged securities 13,740 36 13,776 13,962 - 13,962 Restricted cash 25,816 5,112 30,928 25,296 7,053 32,349 Total $ 3,527,326 $ 16,103 $ 3,543,429 $ 3,751,819 $ 7,053 $ 3,758,872 |
Schedule of assets pledged to us from counterparties under our repurchase agreements. | Assets Pledged from Counterparties The table below summarizes our assets pledged to us from counterparties under our repurchase agreements and derivative agreements as of September 30, 2018 and December 31, 2017 . (in thousands) September 30, 2018 December 31, 2017 Repurchase Derivative Repurchase Derivative Assets Pledged to Orchid Agreements Agreements Total Agreements Agreements Total Cash $ 82 $ 9,330 $ 9,412 $ 67 $ 3,564 $ 3,631 Total $ 82 $ 9,330 $ 9,412 $ 67 $ 3,564 $ 3,631 |
OFFSETTING ASSETS AND LIABILI_2
OFFSETTING ASSETS AND LIABILITIES (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Offsetting Assets And Liabilities [Abstract] | |
Offsetting of Assets [Table Text Block] | The following table presents information regarding those assets and liabilities subject to such arra ngements as if the Company had presented them on a net basis as of September 30, 2018 and December 31, 2017 . (in thousands) Offsetting of Assets Net Amount Gross Amount Not Offset in the of Assets Consolidated Balance Sheet Gross Amount Presented Financial Gross Amount Offset in the in the Instruments Cash of Recognized Consolidated Consolidated Received as Received as Net Assets Balance Sheet Balance Sheet Collateral Collateral Amount September 30, 2018 Interest rate swaps $ 28,030 $ - $ 28,030 $ - $ - $ 28,030 Interest rate swaptions 7,357 - 7,357 - (7,357) - TBA securities 2,035 - 2,035 - (1,749) 286 $ 37,422 $ - $ 37,422 $ - $ (9,106) $ 28,316 December 31, 2017 Interest rate swaps $ 13,745 $ - $ 13,745 $ - $ - $ 13,745 Interest rate swaptions 3,405 - 3,405 - (3,405) - TBA securities 10 - 10 - (10) - $ 17,160 $ - $ 17,160 $ - $ (3,415) $ 13,745 |
Offsetting of Liabilties [Table Text Block] | (in thousands) Offsetting of Liabilities Net Amount Gross Amount Not Offset in the of Liabilities Consolidated Balance Sheet Gross Amount Presented Financial Gross Amount Offset in the in the Instruments of Recognized Consolidated Consolidated Posted as Cash Posted Net Liabilities Balance Sheet Balance Sheet Collateral Collateral Amount September 30, 2018 Repurchase Agreements $ 3,321,803 $ - $ 3,321,803 $ (3,295,987) $ (25,816) $ - $ 3,321,803 $ - $ 3,321,803 $ (3,295,987) $ (25,816) $ - December 31, 2017 Repurchase Agreements $ 3,533,786 $ - $ 3,533,786 $ (3,508,490) $ (25,296) $ - Interest rate swaps 215 - 215 - - 215 TBA securities 1,823 - 1,823 - (1,508) 315 $ 3,535,824 $ - $ 3,535,824 $ (3,508,490) $ (26,804) $ 530 |
CAPITAL STOCK (Tables)
CAPITAL STOCK (Tables) | 9 Months Ended | |
Sep. 30, 2018 | ||
Capital Stock [Abstract] | ||
Schedule of completed public offerings of shares of common stock | Common Stock Issuances During 2017, the Company completed the following public offerings of shares of its common stock. There were no common stock issuances through public offerings during the nine months ended September 30, 2018 or the three months ended September 30, 2017. ($ in thousands, except per share amounts) Weighted Average Price Book Value Per Share Received Net Type of Offering Period Beginning Ending Per Share (1) Shares Proceeds (2) 2017 At the Market Offering Program (3) First Quarter $ 10.10 $ 9.75 $ 10.13 1,286,196 $ 12,792 At the Market Offering Program (3) Second Quarter 9.75 9.23 10.17 11,012,836 110,065 At the Market Offering Program (3) Fourth Quarter 9.15 8.71 9.81 7,746,052 74,750 20,045,084 $ 197,607 | [1],[2],[3] |
Schedul of cash dividends declared on the Company's common stock | Cash Dividends The table below presents the cash dividends declared on the Company’s common stock . (in thousands, except per share amounts) Year Per Share Amount Total 2013 $ 1.395 $ 4,662 2014 2.160 22,643 2015 1.920 38,748 2016 1.680 41,388 2017 1.680 70,717 2018 - YTD (1) 0.910 47,817 Totals $ 9.745 $ 225,975 | [4] |
[1] | The Company has entered into six e quity d istribution a greements, five of which have either been terminated because all shares were sold or were replaced with a subsequent agreement . | |
[2] | Net proceeds are net of the underwriters’ discount, if applicable, and other offering costs. | |
[3] | Weighted average p rice received per share is before deducting the underwriters’ discount, if applicable, and other offering costs. | |
[4] | On October 17 , 2018 , the Company declared a dividend of $0. 08 per share to be paid on November 9 , 2018 . The effect of this dividend is included in the table above, but is not reflected in the Company’s financial statements as of September 30, 2018 . |
STOCK INCENTIVE PLANS (Tables)
STOCK INCENTIVE PLANS (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Employee Benefits And Share Based Compensation [Abstract] | |
Schedule Of Restricted Stock Awards [Table Text Block] | Restricted Stock Awards The table below presents information related to the Company’s restricted common stock at September 30, 2018 and 2017 . ($ in thousands, except per share data) Nine Months Ended September 30, 2018 2017 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Unvested, beginning of period - $ - 8,000 $ 12.23 Granted - - - - Vested and issued - - (8,000) 12.23 Unvested, end of period - $ - - $ - Compensation expense during period $ - $ 33 |
Schedule of fully vested common stock issued | Stock Awards The Company issues immediately vested common stock under the Incentive Plan to certain executive officers, employees and directors. The following table presents information related to fully vested common stock issued during the nine months ended September 30, 2018 and 2017 . ($ in thousands, except per share data) Nine Months Ended September 30, 2018 2017 Fully vested shares granted (1) 37,920 25,848 Weighted average grant date price per share $ 7.62 $ 9.76 Compensation expense related to fully vested shares of common stock awards (2) $ 289 $ 252 |
Schedule of Performance Units outstanding | The following table presents information related to Performance Units outstanding during the nine months ended September 30, 2018 and 2017 . ($ in thousands, except per share data) Nine Months Ended September 30, 2018 2017 Weighted Weighted Average Average Grant Date Grant Date Shares Fair Value Shares Fair Value Unvested, beginning of period 41,693 $ 9.95 45,305 $ 10.33 Granted 27,935 7.45 15,707 9.55 Forfeited (2,161) 8.49 - - Vested and issued (18,301) 10.16 (14,490) 10.52 Unvested, end of period 49,166 $ 8.52 46,522 $ 10.01 Compensation expense during period $ 150 $ 188 Unrecognized compensation expense, end of period $ 205 $ 217 Intrinsic value, end of period $ 356 $ 474 Weighted-average remaining vesting term (in years) 1.2 1.2 |
Schedule of Fully Vested Deferred Stock Units | The following table presents information re lated to the DSUs outstanding during the nine months ended September 30, 2018 . ($ in thousands, except per share data) Weighted Average Grant Date Shares Fair Value Outstanding, beginning of period - $ - Granted and vested 6,046 7.52 Issued - - Outstanding, end of period 6,046 $ 7.52 Compensation expense during period $ 90 Intrinsic value, end of period $ 44 |
EARNINGS PER SHARE (Tables)
EARNINGS PER SHARE (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Earnings Per Share [Abstract] | |
Schedule of reconciling the numerator and denominator of EPS | The table below reconciles the numerator and denominator of EPS for the nine and three months ended September 30, 2018 and 2017 . (in thousands, except per-share information) Nine Months Ended September 30, Three Months Ended September 30, 2018 2017 2018 2017 Basic and diluted EPS per common share: Numerator for basic and diluted EPS per share of common stock: Net (loss) income - Basic and diluted $ (17,988) $ 7,989 $ (2,960) $ 15,183 Weighted average shares of common stock: Shares of common stock outstanding at the balance sheet date 52,039 45,308 52,039 45,308 Unvested dividend eligible share based compensation outstanding at the balance sheet date - 47 - 47 Effect of weighting 499 (6,747) (4) - Weighted average shares-basic and diluted 52,538 38,608 52,035 45,355 Net (loss) income per common share: Basic and diluted $ (0.34) $ 0.21 $ (0.06) $ 0.33 Anti-dilutive incentive shares not included in calculation. 55 - 61 - |
FAIR VALUE (Tables)
FAIR VALUE (Tables) | 9 Months Ended |
Sep. 30, 2018 | |
Fair Value Disclosures [Abstract] | |
Schedule of financial assets (liabilities) measured at fair value on a recurring basis | The following table presents financial assets (liabilities) measured at fair value on a recurring basis as of September 30, 2018 and December 31, 2017 : (in thousands) Quoted Prices in Active Significant Markets for Other Significant Identical Observable Unobservable Fair Value Assets Inputs Inputs Measurements (Level 1) (Level 2) (Level 3) September 30, 2018 Mortgage-backed securities $ 3,513,956 $ - $ 3,513,956 $ - Interest rate swaps 28,030 - 28,030 - Interest rate swaptions 7,357 - 7,357 - TBA securities 2,035 - 2,035 - December 31, 2017 Mortgage-backed securities $ 3,744,811 $ - $ 3,744,811 $ - Interest rate swaps 13,530 - 13,530 - Interest rate swaptions 3,405 - 3,405 - TBA securities (1,813) - (1,813) - |
ORGANIZATION AND SIGNIFICANT _2
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES - Organization and Business Description (Narrative) (Details) | 9 Months Ended |
Sep. 30, 2018 | |
Accounting Policies [Abstract] | |
Entity Incorporation, Date of Incorporation | Aug. 17, 2010 |
Entity Incorporation, State Country Name | MD |
The date of commencement of operations | Nov. 24, 2010 |
ORGANIZATION AND SIGNIFICANT _3
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES - Cash and Cash Equivalents and Restricted Cash (Narrative) (Details) | Sep. 30, 2018USD ($) |
Accounting Policies [Abstract] | |
Uninsured Cash Balances | $ 160,400,000 |
ORGANIZATION AND SIGNIFICANT _4
ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES - Capital Raising Activities (Narrative) (Details) - USD ($) | 2 Months Ended | 5 Months Ended | 7 Months Ended | 9 Months Ended | 14 Months Ended | |
Feb. 20, 2013 | Aug. 01, 2017 | Feb. 22, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | |
Subsidiary, Sale of Stock [Line Items] | ||||||
Proceeds From Issuance Of Common Stock, net of issuance costs | $ 0 | $ 122,857,000 | ||||
Initial Public Offering [Member] | ||||||
Subsidiary, Sale of Stock [Line Items] | ||||||
Stock Issued During Period, Value, New Issues | $ 35,400,000 | |||||
Total shares issued under distribution agreement | 2,400,000 | |||||
At the Market Offering Program [Member] | ||||||
Subsidiary, Sale of Stock [Line Items] | ||||||
Proceeds From Issuance Of Common Stock, net of issuance costs | $ 122,900,000 | $ 108,200,000 | $ 74,700,000 | |||
Stock Issued During Period, Value, New Issues | $ 125,000,000 | $ 110,000,000 | $ 76,000,000 | |||
Total shares issued under distribution agreement | 12,299,032 | 10,174,992 | 7,746,052 | |||
At the Market Offering Program [Member] | Maximum [Member] | ||||||
Subsidiary, Sale of Stock [Line Items] | ||||||
Stock Issued During Period, Value, New Issues | $ 125,000,000 | $ 125,000,000 | $ 125,000,000 |
ORGANIZATION AND SIGINIFICANT A
ORGANIZATION AND SIGINIFICANT ACCOUNTING POLICIES - Cash and Cash Equivalents and Restricted Cash (Details) - USD ($) | Sep. 30, 2018 | Dec. 31, 2017 | Sep. 30, 2017 | Dec. 31, 2016 |
Accounting Policies [Abstract] | ||||
Cash and cash equivalents | $ 164,393,000 | $ 214,363,000 | ||
Restricted cash | 30,928,000 | 32,349,000 | ||
Total cash, cash equivalents and restricted cash | $ 195,321,000 | $ 246,712,000 | $ 181,288,000 | $ 94,425,000 |
MORTGAGE-BACKED SECURITIES - RM
MORTGAGE-BACKED SECURITIES - RMBS portfolio (Details) - USD ($) | Sep. 30, 2018 | Dec. 31, 2017 |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | $ 3,513,956,000 | $ 3,744,811,000 |
Total Pass Through Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 3,378,940,000 | 3,623,685,000 |
Total Strucutured RMBS Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 135,016,000 | 121,126,000 |
Adjustable-rate Mortgages [Member] | Total Pass Through Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 1,437,000 | 1,754,000 |
Fixed-rate Mortgages [Member] | Total Pass Through Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 2,616,916,000 | 3,594,533,000 |
Collateralized Mortgage Obligations [Member] | Total Pass Through Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 760,587,000 | 0 |
Interest-Only Securities [Member] | Total Strucutured RMBS Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | 111,929,000 | 86,918,000 |
Inverse Interest-Only Securities [Member] | Total Strucutured RMBS Certificates [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Fair Value | $ 23,087,000 | $ 34,208,000 |
MORTGAGE-BACKED SECURITIES - _2
MORTGAGE-BACKED SECURITIES - RMBS portfolio by contractual maturities (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Investments, Debt and Equity Securities [Abstract] | ||
Greater than one year and less than five years | $ 0 | $ 29 |
Greater than five years and less than ten years | 6,219 | 3,281 |
Greater than or equal to ten years | 3,507,737 | 3,741,501 |
Total mortgage-backed securities | $ 3,513,956 | $ 3,744,811 |
REPURCHASE AGREEMENTS AND OTH_3
REPURCHASE AGREEMENTS AND OTHER BORROWINGS (Narrative) (Details) - USD ($) | Sep. 30, 2018 | Dec. 31, 2017 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Outstanding repurchase obligations | $ 3,321,803,000 | $ 3,533,786,000 |
Fair Value of securities pledged, including accrued interest receivable | 3,512,501,000 | 3,726,523,000 |
Restricted cash | $ 30,928,000 | $ 32,349,000 |
Net weighted average borrowing rate | 2.30% | 1.54% |
Repurchase Agreement [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Outstanding repurchase obligations | $ 3,321,803,000 | $ 3,533,786,000 |
Fair Value of securities pledged, including accrued interest receivable | 3,512,501,000 | 3,726,523,000 |
Restricted cash | $ 25,816,000 | $ 25,296,000 |
Net weighted average borrowing rate | 2.30% | 1.54% |
Aggregate amount at risk will all counterparties | $ 211,900,000 |
REPURCHASE AGREEMENTS AND OTH_4
REPURCHASE AGREEMENTS AND OTHER BORROWINGS - Remaining Maturities (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 3,512,501 | $ 3,726,523 |
Repurchase agreement liabilities associated with these liabilities | $ 3,321,803 | $ 3,533,786 |
Net weighted average borrowing rate | 2.30% | 1.54% |
Overnight (1 Day or Less) [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 252,556 | $ 0 |
Repurchase agreement liabilities associated with these liabilities | $ 243,602 | $ 0 |
Net weighted average borrowing rate | 2.24% | 0.00% |
Between 2 and 30 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 1,275,229 | $ 1,983,958 |
Repurchase agreement liabilities associated with these liabilities | $ 1,181,946 | $ 1,871,833 |
Net weighted average borrowing rate | 2.32% | 1.53% |
Between 31 and 90 Days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 1,984,716 | $ 1,266,590 |
Repurchase agreement liabilities associated with these liabilities | $ 1,896,255 | $ 1,208,518 |
Net weighted average borrowing rate | 2.30% | 1.53% |
Greater Than 90 days [Member] | ||
Assets Sold under Agreements to Repurchase [Line Items] | ||
Fair Value of securities pledged, including accrued interest receivable | $ 0 | $ 475,975 |
Repurchase agreement liabilities associated with these liabilities | $ 0 | $ 453,435 |
Net weighted average borrowing rate | 0.00% | 1.57% |
DERIVATIVE FINANCIAL INSTRUME_3
DERIVATIVE FINANCIAL INSTRUMENTS - Schedule of Derivative Assets and Liabilties (Details) - USD ($) | Sep. 30, 2018 | Dec. 31, 2017 |
Derivative [Line Items] | ||
Assets, at Fair Value | $ 37,422,000 | $ 17,160,000 |
Liabilities, at Fair Value | 0 | 2,038,000 |
Restricted cash | 30,928,000 | 32,349,000 |
Other Liabilities | 36,610,000 | 10,566,000 |
Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | 37,422,000 | 17,160,000 |
Liabilities, at Fair Value | 0 | 2,038,000 |
Interest Rate Swap [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | 28,030,000 | 13,745,000 |
Interest Rate Swap [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | 28,030,000 | 13,745,000 |
Liabilities, at Fair Value | 0 | 215,000 |
TBA Contracts [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | 2,035,000 | 10,000 |
Liabilities, at Fair Value | 0 | 1,823,000 |
Restricted cash | 0 | 1,508,000 |
Other Liabilities | (1,749,000) | (59,000) |
Eurodollar Future Margin [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Restricted cash | 5,112,000 | 5,545,000 |
Payer Swaption [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | 7,357,000 | 3,405,000 |
Payer Swaption [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||
Derivative [Line Items] | ||
Assets, at Fair Value | 7,357,000 | 3,405,000 |
Other Liabilities | $ (7,581,000) | $ (3,505,000) |
DERIVATIVE FINANCIAL INSTRUME_4
DERIVATIVE FINANCIAL INSTRUMENTS - Eurodollar and T-Note futures positions (Details) - USD ($) | Sep. 30, 2018 | Dec. 31, 2017 |
Eurodollar Future [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 1,500,000,000 | $ 1,183,333,000 |
Derivative Entry Rate | 2.40% | 2.16% |
Locked-In LIBOR Rate | 3.09% | 2.20% |
Open Equity | $ 20,664,000 | $ 1,210,000 |
Year 2018 Expiration [Member] | Eurodollar Future [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 1,212,500,000 | |
Derivative Entry Rate | 1.86% | |
Locked-In LIBOR Rate | 1.98% | |
Open Equity | $ 1,418,000 | |
Year 2018 Expiration [Member] | Treasury Note Futures [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 165,000,000 | $ 140,000,000 |
Derivative Entry Rate | 3.08% | 2.23% |
Locked-In LIBOR Rate | 3.20% | 2.33% |
Open Equity | $ 1,163,000 | $ 755,000 |
Dollar Price | 112.48 | 124.05 |
Notional Value | $ 185,600,000 | $ 173,700,000 |
Year 2019 Expiration [Member] | Eurodollar Future [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 1,500,000,000 | $ 1,350,000,000 |
Derivative Entry Rate | 2.16% | 2.11% |
Locked-In LIBOR Rate | 3.01% | 2.27% |
Open Equity | $ 12,841,000 | $ 2,152,000 |
Year 2020 Expiration [Member] | Eurodollar Future [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 1,500,000,000 | $ 987,500,000 |
Derivative Entry Rate | 2.64% | 2.59% |
Locked-In LIBOR Rate | 3.17% | 2.36% |
Open Equity | $ 7,823,000 | $ (2,360,000) |
DERIVATIVE FINANCIAL INSTRUME_5
DERIVATIVE FINANCIAL INSTRUMENTS - Interest rate swap positions (Details) - Swap [Member] - USD ($) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Investment Securities Class [Domain] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 1,260,000,000 | $ 1,010,000,000 |
Average Fixed Pay Rate | 1.70% | 1.43% |
Average Receive Rate | 2.33% | 1.45% |
Assets, at Fair Value | $ 28,030,000 | $ 13,530,000 |
Average Maturity | 2 years 4 months 2 days | 2 years 10 months 2 days |
1-3 Years | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 900,000,000 | $ 650,000,000 |
Average Fixed Pay Rate | 1.56% | 1.09% |
Average Receive Rate | 2.33% | 1.41% |
Assets, at Fair Value | $ 16,734,000 | $ 11,828,000 |
Average Maturity | 1 year 6 months 20 days | 2 years 20 days |
3-5 Years | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | $ 360,000,000 | $ 360,000,000 |
Average Fixed Pay Rate | 2.05% | 2.05% |
Average Receive Rate | 2.33% | 1.53% |
Assets, at Fair Value | $ 11,296,000 | $ 1,702,000 |
Average Maturity | 3 years 6 months 3 days | 4 years 3 months 3 days |
DERIVATIVE FINANCIAL INTSTRUMEN
DERIVATIVE FINANCIAL INTSTRUMENTS - Summary of Outstanding Swaptions (Details) - USD ($) | 9 Months Ended | 12 Months Ended |
Sep. 30, 2018 | Dec. 31, 2017 | |
Derivatives, Fair Value [Line Items] | ||
Assets, at Fair Value | $ 37,422,000 | $ 17,160,000 |
Payer Swaption [Member] | Less Than Or Equal To One Year [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Swaption Cost | 8,690,000 | 2,367,000 |
Assets, at Fair Value | $ 7,357,000 | $ 3,405,000 |
Derivative Instruments Average Months To Expiration | 4 months 2 days | 8 months |
Notional Amount | $ 850,000,000 | $ 200,000,000 |
Derivative Average Fixed Interest Rate | 3.21% | 2.16% |
Term (Years) | 9 years 2 months 4 days | 6 years |
DERIVATIVE FINANCIAL INSTRUME_6
DERIVATIVE FINANCIAL INSTRUMENTS - TBA positions (Details) - USD ($) | Sep. 30, 2018 | Dec. 31, 2017 |
Derivatives, Fair Value [Line Items] | ||
Assets, at Fair Value | $ 37,422,000 | $ 17,160,000 |
Liabilities, at Fair Value | 0 | 2,038,000 |
30 Year [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | (400,000,000) | (300,444,000) |
Cost Basis | (390,128,000) | (292,403,000) |
Market Value Of TBA Contract | (388,093,000) | (294,216,000) |
Liabilities, at Fair Value | (388,093,000) | (1,813,000) |
30 Year [Member] | 3% [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | (200,000,000) | (300,000,000) |
Cost Basis | (192,324,000) | (299,371,000) |
Market Value Of TBA Contract | (191,344,000) | (300,153,000) |
Liabilities, at Fair Value | 980,000 | (782,000) |
30 Year [Member] | 3.5% [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | (200,000,000) | |
Cost Basis | (197,804,000) | |
Market Value Of TBA Contract | (196,749,000) | |
Liabilities, at Fair Value | $ 1,055,000 | |
30 Year [Member] | 4.0% [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | (357,000,000) | |
Cost Basis | (373,403,000) | |
Market Value Of TBA Contract | (373,477,000) | |
Liabilities, at Fair Value | (74,000) | |
30 Year [Member] | 4.5% [Member] | Long [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 356,556,000 | |
Cost Basis | 380,371,000 | |
Market Value Of TBA Contract | 379,414,000 | |
Liabilities, at Fair Value | $ (957,000) |
DERIVATIVE FINANCIAL INSTRUME_7
DERIVATIVE FINANCIAL INSTRUMENTS - Effect on the consolidated statements of operations (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Derivatives, Fair Value [Line Items] | ||||
(Losses) gains on derivative instruments | $ 12,693,000 | $ (5,470,000) | $ 69,547,000 | $ (29,331,000) |
Eurodollar Future [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
(Losses) gains on derivative instruments | 4,640,000 | 607,000 | 25,301,000 | (6,955,000) |
Treasury Note Future [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
(Losses) gains on derivative instruments | 1,482,000 | (6,450,000) | 9,232,000 | (16,190,000) |
Swap [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
(Losses) gains on derivative instruments | 2,994,000 | 1,005,000 | 17,032,000 | (3,170,000) |
Receiver Swaption [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
(Losses) gains on derivative instruments | (130,000) | 0 | (909,000) | 0 |
Payer Swaption [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
(Losses) gains on derivative instruments | 414,000 | 827,000 | 5,627,000 | 827,000 |
TBA Contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
(Losses) gains on derivative instruments | $ 3,293,000 | $ (1,459,000) | $ 13,264,000 | $ (3,843,000) |
PLEDGED ASSETS - Assets Pledged
PLEDGED ASSETS - Assets Pledged to Counterparties (Details) - USD ($) | Sep. 30, 2018 | Dec. 31, 2017 |
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | $ 3,498,724,000 | $ 3,712,561,000 |
Accrued interest receivable | 14,085,000 | 14,444,000 |
Restricted cash | 30,928,000 | 32,349,000 |
Repurchase Agreement [Member] | ||
Pledged Assets [Line Items] | ||
Accrued interest receivable | 13,740,000 | 13,962,000 |
Restricted cash | 25,816,000 | 25,296,000 |
Derivative [Member] | ||
Pledged Assets [Line Items] | ||
Accrued interest receivable | 36,000 | 0 |
Restricted cash | 5,112,000 | 7,053,000 |
Residential Mortgage Backed Securities [Member] | Repurchase Agreement [Member] | Pass Through Certificate [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | 3,366,607,000 | 3,612,244,000 |
Residential Mortgage Backed Securities [Member] | Repurchase Agreement [Member] | Structured Finance [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | 121,163,000 | $ 100,317,000 |
Residential Mortgage Backed Securities [Member] | Derivative [Member] | Pass Through Certificate [Member] | ||
Pledged Assets [Line Items] | ||
Financial Instruments, Owned and Pledged as Collateral, at Fair Value | $ 10,955,000 |
PLEDGED ASSETS - Assets Pledg_2
PLEDGED ASSETS - Assets Pledged By Counterparties (Details) - USD ($) | Sep. 30, 2018 | Dec. 31, 2017 |
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | $ 9,412,000 | $ 3,631,000 |
Residential Mortgage Backed Securities [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 0 | 0 |
Residential Mortgage Backed Securities [Member] | Pass Through Certificate [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 0 | 0 |
USTreasurySecuritiesMember | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 0 | 0 |
Cash | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 9,412,000 | 3,631,000 |
Repurchase Agreement [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 82,000 | 67,000 |
Repurchase Agreement [Member] | Residential Mortgage Backed Securities [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 0 | 0 |
Repurchase Agreement [Member] | Residential Mortgage Backed Securities [Member] | Pass Through Certificate [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 0 | 0 |
Repurchase Agreement [Member] | USTreasurySecuritiesMember | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 0 | 0 |
Repurchase Agreement [Member] | Cash | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 82,000 | 67,000 |
Derivative [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 9,330,000 | 3,564,000 |
Derivative [Member] | Residential Mortgage Backed Securities [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 0 | 0 |
Derivative [Member] | Residential Mortgage Backed Securities [Member] | Pass Through Certificate [Member] | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 0 | 0 |
Derivative [Member] | USTreasurySecuritiesMember | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | 0 | 0 |
Derivative [Member] | Cash | ||
Pledged Assets [Line Items] | ||
Securities Pledged By Counterparties | $ 9,330,000 | $ 3,564,000 |
OFFSETTING ASSETS AND LIABILI_3
OFFSETTING ASSETS AND LIABILITIES - Offsetting of Assets (Details) - USD ($) | Sep. 30, 2018 | Dec. 31, 2017 |
Offsetting Assets [Line Items] | ||
Derivative Asset, Fair Value, Gross Asset | $ 37,422,000 | $ 17,160,000 |
Gross Amount Of Assets Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Assets Presented In The Balance Sheet | 37,422,000 | 17,160,000 |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | 0 | 0 |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | (9,106,000) | (3,415,000) |
Net Amount Of Assets | 28,316,000 | 13,745,000 |
Swap [Member] | ||
Offsetting Assets [Line Items] | ||
Derivative Asset, Fair Value, Gross Asset | 28,030,000 | 13,745,000 |
Gross Amount Of Assets Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Assets Presented In The Balance Sheet | 28,030,000 | 13,745,000 |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | 0 | 0 |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | 0 | 0 |
Net Amount Of Assets | 28,030,000 | 13,745,000 |
TBA securities [Member] | ||
Offsetting Assets [Line Items] | ||
Derivative Asset, Fair Value, Gross Asset | 2,035,000 | 10,000 |
Gross Amount Of Assets Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Assets Presented In The Balance Sheet | 2,035,000 | 10,000 |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | 0 | 0 |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | (1,749,000) | (10,000) |
Net Amount Of Assets | 286,000 | 0 |
Payer Swaption [Member] | ||
Offsetting Assets [Line Items] | ||
Derivative Asset, Fair Value, Gross Asset | 7,357,000 | 3,405,000 |
Gross Amount Of Assets Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Assets Presented In The Balance Sheet | 7,357,000 | 3,405,000 |
Gross Amounts Of Financial Instruments Received Not Offset In Balance Sheet | 0 | 0 |
Gross Amounts Of Cash Collateral Received Not Offset In Balance Sheet | (7,357,000) | (3,405,000) |
Net Amount Of Assets | $ 0 | $ 0 |
OFFSETTING ASSETS AND LIABILI_4
OFFSETTING ASSETS AND LIABILITIES - Offsetting of Liabilties (Details) - USD ($) $ in Thousands | Sep. 30, 2018 | Dec. 31, 2017 |
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | $ 3,321,803 | $ 3,535,824 |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Liabilities Presented In The Balance Sheet | 3,321,803 | 3,535,824 |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | (3,295,987) | (3,508,490) |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | (25,816) | (26,804) |
Net Amount Of Liabilities | 0 | 530 |
Repurchase Agreement [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | 3,321,803 | 3,533,786 |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | 0 |
Net Amount Of Liabilities Presented In The Balance Sheet | 3,321,803 | 3,533,786 |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | (3,295,987) | (3,508,490) |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | (25,816) | (25,296) |
Net Amount Of Liabilities | $ 0 | 0 |
Swap [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | 215 | |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | |
Net Amount Of Liabilities Presented In The Balance Sheet | 215 | |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | 0 | |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | 0 | |
Net Amount Of Liabilities | 215 | |
TBA securities [Member] | ||
Offsetting Liabilities [Line Items] | ||
Gross Amount Of Recognized Liabilties | 1,823 | |
Gross Amount Of Liabilties Offset In The Balance Sheet | 0 | |
Net Amount Of Liabilities Presented In The Balance Sheet | 1,823 | |
Gross Amount Of Financial Instruments Posted Not Offset in Balance Sheet | 0 | |
Gross Amounts Of Cash Posted Not Offset In Balance Sheet | (1,508) | |
Net Amount Of Liabilities | $ 315 |
CAPITAL STOCK - Completed publi
CAPITAL STOCK - Completed public offerings ofcommon stock (Details) - At the Market Offering Program [Member] - USD ($) | 3 Months Ended | 12 Months Ended | |||||
Dec. 31, 2017 | Jun. 30, 2017 | Mar. 31, 2017 | Dec. 31, 2017 | Sep. 30, 2017 | Dec. 31, 2016 | Jun. 30, 2016 | |
Book Value Per Share | $ 8.71 | $ 9.23 | $ 9.75 | $ 8.71 | $ 9.15 | $ 10.1 | |
Weighted Average Price Received Per Share | $ 9.81 | $ 10.17 | $ 10.13 | $ 9.81 | $ 10.17 | ||
Stock Issued During Period Shares New Issues | 7,746,052 | 11,012,836 | 1,286,196 | 20,045,084 | |||
Stock Issued During Period, Value, New Issues | $ 74,750,000 | $ 110,065,000 | $ 12,792,000 | $ 197,607,000 |
CAPITAL STOCK - Share Repurchas
CAPITAL STOCK - Share Repurchase Progam (Narrative) (Details) - USD ($) | 9 Months Ended | 12 Months Ended | 38 Months Ended | ||
Sep. 30, 2018 | Dec. 31, 2017 | Sep. 30, 2018 | Feb. 08, 2018 | Jul. 29, 2015 | |
Share Repurchase Program [Line Items] | |||||
Stock Repurchased and Retired During Period, Value | $ (7,681,000) | ||||
Share Repurchase Program [Member] | Common Stock [Member] | |||||
Share Repurchase Program [Line Items] | |||||
Stock Repurchase Program Authorization Date | Jul. 29, 2015 | ||||
Stock Repurchased and Retired During Period, Shares | 0 | 2,285,084 | |||
Stock Repurchased and Retired During Period, Value | $ 18,500,000 | ||||
Weighted Average Share Repurchase Price | $ 8.11 | ||||
Share Repurchase Program [Member] | Maximum [Member] | Common Stock [Member] | |||||
Share Repurchase Program [Line Items] | |||||
Share Repurchase | 2,000,000 | ||||
Stock Repurchase Program Remaining Number Of Shares Authorized To Be Repurchased | 4,237,738 | 4,237,738 | |||
Program Increase [Member] | Maximum [Member] | Common Stock [Member] | |||||
Share Repurchase Program [Line Items] | |||||
Share Repurchase | 4,522,822 |
CAPITAL STOCK - Cash dividends
CAPITAL STOCK - Cash dividends declared (Details) - USD ($) | 3 Months Ended | 9 Months Ended | 12 Months Ended | 65 Months Ended | |||||||
Sep. 30, 2018 | Jun. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | Dec. 31, 2016 | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Jun. 30, 2018 | |
Dividends Payable [Line Items] | |||||||||||
Per Share Amount | $ 0.25 | $ 0.42 | $ 0.83 | $ 1.26 | |||||||
Dividend Declared [Member] | |||||||||||
Dividends Payable [Line Items] | |||||||||||
Per Share Amount | $ 0.91 | $ 1.68 | $ 1.68 | $ 1.92 | $ 2.16 | $ 1.395 | $ 9.745 | ||||
Total | $ 47,817,000 | $ 70,717,000 | $ 41,388,000 | $ 38,748,000 | $ 22,643,000 | $ 4,662,000 | $ 225,975,000 | ||||
Dividend Declared [Member] | Subsequent Event [Member] | |||||||||||
Dividends Payable [Line Items] | |||||||||||
Dividends Payable, Date Declared | Oct. 17, 2018 | ||||||||||
Dividends Payable, Date to be Paid | Nov. 9, 2018 | ||||||||||
Per Share Amount | $ 0.08 |
STOCK INCENTIVE PLAN - Descript
STOCK INCENTIVE PLAN - Descriptions of Plans (Details) - shares | 3 Months Ended | |
Jun. 30, 2018 | Sep. 30, 2018 | |
Employee Benefits And Share Based Compensation [Abstract] | ||
Maximum Number of Shares to Be Issued the Plan | 4,000,000 | |
Percentage of Outstanding Stock Limitation | 10.00% |
STOCK INCENTIVE PLAN - (Narrati
STOCK INCENTIVE PLAN - (Narrative) (Details) - $ / shares | 9 Months Ended | |
Sep. 30, 2018 | Sep. 30, 2017 | |
Restricted Stock | ||
Incentive Share Activity, Shares | ||
Nonvested - Beginning Balance | 0 | 8,000 |
Granted | 0 | 0 |
Vested | 0 | (8,000) |
Nonvested - Ending Balance | 0 | 0 |
Incentive Share Activity, Grant Date Fair Value | ||
Nonvested - Beginning Balance | $ 0 | $ 12.23 |
Granted | 0 | 0 |
Vested | 0 | 12.23 |
Nonvested - Ending Balance | $ 0 | $ 0 |
Stock Awards [Member] | ||
Incentive Share Activity, Shares | ||
Granted | 37,920 | 25,848 |
Incentive Share Activity, Grant Date Fair Value | ||
Granted | $ 7.62 | $ 9.76 |
Performance Shares [Member] | ||
Incentive Share Activity, Shares | ||
Nonvested - Beginning Balance | 41,693 | 45,305 |
Granted | 27,935 | 15,707 |
Vested | (18,301) | (14,490) |
Nonvested - Ending Balance | 49,166 | 46,522 |
Incentive Share Activity, Grant Date Fair Value | ||
Nonvested - Beginning Balance | $ 9.95 | $ 10.33 |
Granted | 7.45 | 9.55 |
Vested | 10.16 | 10.52 |
Nonvested - Ending Balance | $ 8.52 | $ 10.01 |
Deferred Stock Units [Member] | ||
Incentive Share Activity, Shares | ||
Nonvested - Beginning Balance | 0 | |
Granted | 6,046 | |
Vested | 0 | |
Nonvested - Ending Balance | 6,046 | |
Incentive Share Activity, Grant Date Fair Value | ||
Nonvested - Beginning Balance | $ 0 | |
Granted | 7.52 | |
Vested | 0 | |
Nonvested - Ending Balance | $ 7.52 |
STOCK INCENTIVE PLAN - (Narra_2
STOCK INCENTIVE PLAN - (Narrative, continued) (Details) - USD ($) | 9 Months Ended | |
Sep. 30, 2018 | Sep. 30, 2017 | |
Restricted Stock | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Weighted Average Remaining Term | 0 years | |
Share Based Compensation | $ 0 | $ 33,000 |
Granted | 0 | 0 |
Stock Awards [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Share Based Compensation | $ 289,000 | $ 252,000 |
Granted | 37,920 | 25,848 |
Stock Awards [Member] | Prior year service period [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Share Based Compensation | $ 244,000 | $ 168,000 |
Granted | 31,816 | 17,335 |
Performance Shares [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Intrinsic Value of Nonvested | $ 356,000 | $ 474,000 |
Weighted Average Remaining Term | 1 year 2 months 18 days | 1 year 2 months 7 days |
Unrecognized Compensation Cost | $ 205,000 | $ 217,000 |
Share Based Compensation | $ 150,000 | $ 188,000 |
Granted | 27,935 | 15,707 |
Deferred Stock Units [Member] | ||
Share-based Compensation Arrangement by Share-based Payment Award [Line Items] | ||
Intrinsic Value of Nonvested | $ 44,000 | |
Share Based Compensation | $ 90,000 | |
Granted | 6,046 |
EARNINGS PER SHARE (Details)
EARNINGS PER SHARE (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Net Income (Loss) Available to Common Stockholders, Diluted [Abstract] | ||||
Net Income (Loss) Available to Common Stockholders, Basic | $ (2,960,000) | $ 15,183,000 | $ (17,988,000) | $ 7,989,000 |
Net Income (Loss) Available to Common Stockholders, Diluted | $ (2,960,000) | $ 15,183,000 | $ (17,988,000) | $ 7,989,000 |
Weighted Average Number of Shares Outstanding, Diluted [Abstract] | ||||
Common Shares Outstanding | 52,039,000 | 45,308,000 | 52,039,000 | 45,308,000 |
Unvested Dividend Eligible Shares Outstanding at the Balance Sheet Date | 0 | 47,000 | 0 | 47,000 |
Effect of Weighting | (4,000) | 0 | 499,000 | (6,747,000) |
Weighted Average Shares - Basic and Diluted | 52,034,695 | 45,355,124 | 52,538,457 | 38,608,053 |
Income (Loss) Per Share - Basic | $ (0.06) | $ 0.33 | $ (0.34) | $ 0.21 |
Income (Loss) Pe Share - Diluted | $ (0.06) | $ 0.33 | $ (0.34) | $ 0.21 |
EARNINGS PER SHARE - (Narrative
EARNINGS PER SHARE - (Narrative) (Details) - shares | 3 Months Ended | 9 Months Ended | ||
Jun. 30, 2018 | Jun. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | |
Performance Shares [Member] | ||||
Antidilutive Securities Excluded From Computation Of Earnings Per Share [Line Items] | ||||
Antidilutive Securities Excluded from Computation of Earnings Per Share, Amount | 61,000 | 0 | 55,000 | 0 |
FAIR VALUE - Assets - Assets a
FAIR VALUE - Assets - Assets and Liabilities Recorded at Fair Value on Recurring Basis (Details) - USD ($) | 9 Months Ended | ||
Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities | $ 3,513,956,000 | $ 3,744,811,000 | |
Derivative Asset, Fair Value, Gross Asset | 37,422,000 | 17,160,000 | |
Fair Value Assets Transfers Amount | 0 | $ 0 | |
Swap [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 28,030,000 | 13,745,000 | |
Estimate of Fair Value, Fair Value Disclosure [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities | 3,513,956,000 | 3,744,811,000 | |
Estimate of Fair Value, Fair Value Disclosure [Member] | Swap [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 28,030,000 | 13,530,000 | |
Estimate of Fair Value, Fair Value Disclosure [Member] | Interest Rate Swaption [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 7,357,000 | 3,405,000 | |
Estimate of Fair Value, Fair Value Disclosure [Member] | TBA Contracts [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 2,035,000 | (1,813,000) | |
Fair Value, Inputs, Level 1 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities | 0 | 0 | |
Fair Value, Inputs, Level 1 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | Swap [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 0 | 0 | |
Fair Value, Inputs, Level 1 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | Interest Rate Swaption [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 0 | 0 | |
Fair Value, Inputs, Level 1 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | TBA Contracts [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 0 | 0 | |
Fair Value, Inputs, Level 2 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities | 3,513,956,000 | 3,744,811,000 | |
Fair Value, Inputs, Level 2 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | Swap [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 28,030,000 | 13,530,000 | |
Fair Value, Inputs, Level 2 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | Interest Rate Swaption [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 7,357,000 | 3,405,000 | |
Fair Value, Inputs, Level 2 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | TBA Contracts [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 2,035,000 | (1,813,000) | |
Fair Value, Inputs, Level 3 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Mortgage-backed securities | 0 | 0 | |
Fair Value, Inputs, Level 3 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | Swap [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 0 | 0 | |
Fair Value, Inputs, Level 3 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | Interest Rate Swaption [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 0 | 0 | |
Fair Value, Inputs, Level 3 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | TBA Contracts [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | $ 0 | $ 0 |
RELATED PARTY TRANSACTIONS - Ma
RELATED PARTY TRANSACTIONS - Management Agreement (Narrative) (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2018 | Sep. 30, 2017 | Sep. 30, 2018 | Sep. 30, 2017 | Dec. 31, 2017 | |
Related Party Transaction [Line Items] | |||||
Due to affiliates | $ 622,000 | $ 622,000 | $ 797,000 | ||
Bimini Advisors, LLC [Member] | |||||
Related Party Transaction [Line Items] | |||||
Termination Date | 2/20/2019 | ||||
Automatic Renewal Period Of Management Agreement | 1 year | ||||
Management Fees And Allocated Expenses | $ 1,873,000 | $ 1,940,000 | $ 5,933,000 | $ 5,398,000 | |
Bimini Advisors, LLC [Member] | First $250 million of Equity [Member] | |||||
Related Party Transaction [Line Items] | |||||
Annual management fee as a percent of equity | 1.50% | ||||
Bimini Advisors, LLC [Member] | Greater than $250 million but less than or equal to $500 million Equity [Member] | |||||
Related Party Transaction [Line Items] | |||||
Annual management fee as a percent of equity | 1.25% | ||||
Bimini Advisors, LLC [Member] | Greater than $500 million of Equity [Member] | |||||
Related Party Transaction [Line Items] | |||||
Annual management fee as a percent of equity | 1.00% |
RELATED PARTY TRANSACTIONS - Ot
RELATED PARTY TRANSACTIONS - Other Relationships (Narrative) (Details) - Bimini Capital Management Inc [Member] | Sep. 30, 2018shares |
Related Party Transaction [Line Items] | |
Orchid Shares Owned | 1,520,036 |
Entity Ownership Percentage | 2.90% |